Primed the pump and injectors and slid the battery in but no go!
When you cranking the engine, diesel fuel comming from high pressure injector pipes or not? (cracked by 17mm wrench). Usually I do start the engine after conversion like this - I disconnect both fuel hoses on IP, hang one gallon gas can full with diesel (hang above engine by the hood hook), use clear hoses (Home Depot) and prime IP from gas can (without fuel filter). Using this method very easy to prime IP and start the engine. Both hoses (in and out) to gas can. After first start and when engine runs fine I connect fuel from permanent fuel tank...
Running lights are on all the time regardless of light switch position.
it depends what light switch on your B4, there was 3 different switches and with one of this switches (as I remember factory installed in 1996 B4) running lights always will be on. To temporary eliminate extra battery draining while you crank starter a lot - just unplug light switch for now.
I have no cluster activity except plugs, check engine and battery lights
If you have check engine light and glowplug light - your relay109 on busebox connected and working (so, no issues with power to ECU).
There is two very thick wires going to fusebox, one plugs in the center (on the back) and other plugs in the bottom right corner (also in the back of busebox). Check those wires if they are properly plugged in.
At this moment I cant think what else can be, if you have no other lights on the cluster exempt GP and CEL - something unpluged (I never have this), maybe someone can help with this.