Is this a good way to connect them? doesn't it depend on how you connect them to wether or not they heat up as hot as there supposed to?

Well, it will work and many do it this way. However, I'd suggest they'd be better fed from a ignition switched relay with the fused supply feed coming direct from the battery.

Is the connector plug coming from the clock loom the diagnostic connection? if so, what happens if my bike needs to go on the diagnostic?

That plug behind the dash is not a diagnostic socket. It is simply a 12V supply from the sidelight circuit.

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