Zirgo fan switch

I put one of these in years ago and had no issues, but I am giving the head a scratch today.
The fan I have is a junk yard no name but works great when power is put to it, has a real kick when she starts up.
I got one of the Zirgo adjustable temp switches and wired through a 40amp relay as shown in the drawing. I heat the bulb to check it and the fuses blow RIGHT AWAY. I used a 20amp as the drawing showed. Could it be drawing more than 20amps on start up which causes it to blow, the fan doesn't even turn before the fuse pops.
I thought a relay needed to be grouned as well?
Thanks gurus
AL