well the relay module shouldn't be getting any power unless the switch is turned on. my guess is a bad switch. the fact that they work at all tells me the relay is working just fine
EDIT: I didn't see that you pulled the wires off the switch and they still flashed....thats impossible unless theres a short between the legs of the wires going to the switch. In theory, all a hazard/turn relay does is create a momentary short circuit in the circuit that makes the lights flash instead of remaining on steady.
the switch completes the circuit which sends the power down the line to the relay, which energizes and completes the circuit.
now...maybe New Holland is doing something different. they might be routing it thru the relay module first...not sure . id need to see a schematic.