Eric,
Don't quote me on this, but I believe that the power protection relay is what shuts down all un-necessary circuits during startup. You'll have noticed that when starting the car, int. lights, radio, and I think even cluster, etc, etc, all shut down for a few seconds while the vehicle is started. I'm assuming this is to both protect everything from any surges/spikes, and possibly also to give as much battery power for starting. Someone else may know exactly what it's for so like I say, don't hold me to it.
Is the relay unique in the car, as in, are there any similar coloured relays with the same pinout & function (check diagram on relay case), that you could swap in there just to find out if it's the relay or wiring/circuit?
Paul.