Welcome to TBN.
Pretty often, if not most of the time from whan I have seen, it is the timer that is bad. I believe the light is driven by the timer and the relay only drives the glow plugs themselves which would explain why the light is still on when you pulled the relay. The timer was about $65 when I changed mine and it was a guess what was bad. So I changed the relay first because it was cheapest then had to order the timer because that was the problem. I ordered my parts from Messicks online.
Edit: I should have used the term Controller, as the8080 did, rather than Timer to make it less confusing as there is also a Timer Unit associated with the fuel valve shut off.