In the general sense a check valve allows flow in only one direction. In the context of MB lubrication systems, the anti-drain valve in/near the oil filter keeps oil in the upper engine after the engine is shut down so it's primed when you restart. There might be other check valves.
A relief valve prevents flow until a determined pressure threshold is achieved at which point it opens to allow flow. In the context of many lubrication systems (including MB?), there's a relief valve before the oil filter such that if the oil filter gets clogged oil can bypass the filter ensuring some if not the cleanest oil gets where it should. The oil pressure gauge is not in the bypass loop. There might be other relief valves.