It's a layer of protection and a good idea.
Most circuits that require a lot of power use relays. Horns, AC, Glowplugs, etc...
It should be mentioned that the relay should be able to handle constant power. The first relay the guy at Napa sold me was a horn relay. After checking I found it was only rated for 20 seconds.
I went back and got an AC relay.
Adding the pump is probably a good idea. I did on mine. But you don't really have to. If your lift pump can't handle the vegetable oil then your not thinning enough. The oil should mimic the viscosity of diesel fuel.
It's not so much a problem on our earlier MB's as it is in some other vehicles.
Danny