Your bike's original ignition switch was very likely equipped with a resistor on one of the wires that leads to the ECU. This lowers the voltage from full battery voltage down to somewhere in the 6-9 volt range (the way I understand it; I don't have a wiring diagram available to verify). If the ECU does not see the voltage at this lowered level, it will not activate the DFI relay. If the switch you bought is an aftermarket, it may not be equipped with the resistor (not all Vulcans use it, but the switch probably fits multiple models). If you do a Google search for Kawasaki Vulcan anti-theft resistor, you'll probably find posts and even videos that may show the resistor and explain it better than I did.
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