From what I have read, those light are disabled for Europe...
+1
It could be that the shipping company has disabled it with soft editing (htel and such), if it's a blown fuse, it will trigger a soft code in the body control module not the PCM hence no check engine light.
Get an advanced scanner (otel, or ant type used in the big garages) and scan.
If that is negative, start looking for fuses. The sad part is that ford has connected the side markers and the grill lights to the turn signal circuit, so that will take time to figure out.
Oh, and get some front mud flaps ASAP, these truck sling dirt/snow/rocks like there is no tommorow on the front doors.