I've had the SMG pump replaced twice now. (both under warranty) Initially when the cog light came on the car seemed fine I assumed it was just a random code and booked in to see the dealer, unfortunately as time went by engaging gears in the morning was less and less reliable.
After reading a lot here, and wondering at likelihood of the second pump failure in under a year I enquired if it could be the relay, I was told that while the relay was failing, the cause was the pump drawing too much current, in turn causing the relay to burn out, so a new relay would just mask the issue.
I can't say I trust information the dealers repair centre give me... but this did sound plausible. (but I'm not a mechanic.)
I'd say it's certainly worth pulling your new relay and taking a look at it, along with getting the codes read, and perhaps implementing the heat fix.