I don't have your unit. But I looked for sales videos on line of the 37U. Both 2013 and 2014 models. In all the videos, there appears to be a switch on the wall at the opposite end of the slide by the dinette. This is consistent, in my view, as to how Heartland has wired in slide lights on their RV's, including mine.
So I would start by pulling that switch off the wall and checking for 12 volts there with a voltmeter. If no power at the switch, there should be a junction box on the frame under the slide as Dahillbilly suggests. If you find 12 volt power there, the flexablen cable between that junction box and the slide may have a broken conductor.
If no power at the junction box, check for a blown fuse.
Or there is a bad wiring connection where the lights themselves were connected to the cable that comes from the switch.
Or, though a bit unlikely, the lights themselves may have failed.
You will have to find the fault through a process of elimination using a voltmeter.