When you say "bulbs do work" do you mean that you have taken them out and inspected them or have you moved them to a new position?
Either way there have been problems with the KJs in that the bulb holders sometimes have their contacts melt their way down into the plastic so that the bulb contacts can no longer reach them. If this is the case the bulb holders need to be replaced.
The front signal/flasher and rear signal/flasher (or Indicators as we call them over here) basically get the same power from the Hazard Switch...the Multifunction switch swinging over to left or right activates the Hazard Flasher so if the rear flashers work then the Multifunction Switch is OK as regards the turn signals as the rear of the Jeep works OK.
The ground points for the front lamps are different to the rear so you may be missing a ground up front.
The rear turn signals will flash faster if the front flashers are not working.
So I would initially say that the Multifunction Switch is not faulty
You can download the Jeep KJ Service Manuals here. The 2004 is not covered but the 2003 should be close enough but wire colors may be different. Section 8W has the Wiring Diagrams.
The index of Section 8W has a Component Location so you can look for Front Turn signals to be able to go to the relevant page. Likewise G111 appears to be the ground point for the front turn signals...the Component Locations will show you where G111 is located.
http://www.colorado4wheel.com/manuals/Jeep/KJ/Where are you located?
Canadian models have Daylight Running lights so there are some changes in the Wiring Diagrams.