Your Pre-Glow ReLay has NO Strip Fuse.
(Kinda neat)
It's Electronic.
It "Senses" an "Overload" (Or a Dead Short)and disconnects until the "Problem " is fixed.
BUT,That has Nothing to do with your problem.
When the Automatic Disconnect Protection takes place,it shuts Off EVERYTHING
inside the Pre-Glow ReLay.
I've Gotta admit I do not know the Actual Voltage output of your Pre-Glow ReLay.(BUT,It ain't 12 Volts...)
For example on my W124 300D (With the same "Electronic Pre-Glow ReLay")
outputs LESS Than 11.5 Volts at the ReLay pins.
My F-1 fuse (8Amperes) powers terminal #15 on my GP Relay.
I'll bet you've a fuse like that in your fuse box.
(You Need Electrical schematic,that's specific to your Chassis/Engine.)
There are really a lot of Circuits to be tested before you can condemn the GP
Relay!
When you look at the below Testing instructions the applicable section is
Part B [Because your Pre-Glow ReLay is equipped with up to 60 seconds of
AfterGlow]
http://www.ps2cho.net/downloads/MB%20CD/W124/w124CD1/Program/Engine/602_603/15-4000.pdf
(Ignore the Big Black arrow on the Cyrillic Pictogram of your Pre-Glow ReLay
it's a marker in Another Electrical Mystery.)
[HINT: Connections,Wiring and Grounds]