I would never use it on the lights or windows. I would only use it on the chrome if I was in a pinch and didn't have any chrome polish left. If you're worried about your windows, I would suggest Rain-X if you're looking to make the water bead off of them. As to your headlights, I would just leave them be.
If you're asking if it will hurt anything, then NO, it won't. If you're looking to keep water off the windshield, the Rain-X would be my suggestion as well. As for waxing chrome, some of us wax the chrome rims to make it easier to clean, but it's a major PITA to keep them looking good.