You are right that it is an expensive part, on the order of $120 I think.
The troubleshooting you have accomplished so far shows why the car doesn't start - there's certainly no heating being done by the glow plugs.
Before you can isolate the problem entirely to the glow plug relay, you need to check the voltage signal that causes the relay to throw. This would be coming from or controlled by the ignition switch, and is what makes the relay throw when you turn the key.
There should be an additional plug or connections beyond what you already have tested that will be this signal. I think it might be a ground lead and a hot lead, but am not sure. But it will be what is left over (in terms of electrical connections) besides the connections going to the glow plugs and the big battery and fuse screws.
It should come down to one of two things:
Your glow plug relay is bad because it will not throw.
Or, your glow plug relay is not getting the signal to throw from the ignition switch. Could be an ignition switch contact going bad or a fuse blown.
Hope this helps,