If you have a meter or a test lamp, check for voltage on the grey/black wire at the back of the dimmer switch with the lights switched on. If ok check the grey/red wire with the dimmer full up.
If you don't have a meter etc. you could take a wire from a known live (battery +ve and touch it on the grey/red wire at the back of one of the items that isn't lighting up (e.g. fag lighter, hazard switch, window switch. See what lights up and what doesn't and that will narrow down where the problem lies.