Bman, That should be because you went from a 1998 engine model/design to an 2008 (or 2004?) engine model design plus I'll guess you went from carbureted to MPI too?? With either year you have, 'You have a 555 ECM... That is if they are both MPI's.
That connector plug you show became needed in 2006+ year models.
The warning horn system works a bit different between the two designs including the testing features of these types of sensors / senders / switches.
The grounding methods of years past doesn't apply exactly the same to the newer MPI engine sensors like they did on the discrete switches of years past like you've tested/grounded out before....Even the drive oil bottle is slightly different but is the only one that holds about the same concept....As mentioned by Chris the warning horn system runs through the ECM before hitting the horn device at the helm.
To sound the warning horns typically all you'd need to do is unplug the MPI digital sensors for the engine coolant, Oil pressure, etc....The coolant sensor should have a 2 wire plug connector with a yellow and black wire running to it.
With you mentioning that you hear a warning horn beep when you first turn the key on ought to be indicating that the warning horn system is working correctly because that is the self-test feature the ECM does at each key-up as long as you/the system has enough time to rest/re-set itself between key-ups....If you key up multiple times to soon/fast the system may not keep up and stop beeping for a bit of time but if you give it roughly half a minute or so between key-ups the system should self test and you'd hear the horn each time.
Another way for a service tech to check the horn activation system would be if say they (or you) had the correct marine scan tool then they/you could preform a self 10 or so second test of the warning horn system that sounds the horn indicating if it's connected correctly or not, etc. etc..
The following link should be a general guide of Merc's warning horn meanings for most stock engine models...In it you will notice the first section of your engine model/serial number ranges say (Single beep at start up: Normal test horn: No Action Required: No action required)
MERCRUISER HORN WARNING SYSTEMS
Hope this helps some.