I’m pretty sure the relay switches the output of the MOSFET dimmer circuit between the load and traveler terminals.
If you look at a 3-wire with a dumb switch wiring diagram, the dumb switch connects the light load to either the load terminal or the traveler terminal depending on which direction it is switched. So, in the dimmer device the dimmer circuit output which is normally connected to the load terminal has to be switched to the traveler terminal. Hence, the relay is needed to do this switch.
I believe this means if the device is used in single pole neutral mode and set to use the relay that the relay click simply switches the MOSFET dimmer circuit to be powering the traveler wire when the device is turned off which disconnects the MOSFET dimmer circuit from the load terminal and doesn’t allow it to power the load. The relay isn’t in parallel with the MOSFET dimmer circuit so it doesn’t bypass it.
The same thing can be done in a RED by setting it to 3-wire dumb switch mode even when it’s a 1-pole neutral wired application. The internal relay starts clicking when it’s turned on or off.
This also explains why this device can’t do a fan. The internal relay isn’t bypassing the dimmer so the dimmer would have to power the fan, which just isn’t done.