Well, at least they found something that was broken. That is good. If the relay wasn't stuck in the ON position the O2 sensor ought to be ok. Constant pre-heating might have toasted it, though.
I remember when solid state circuitry was first becoming commonly used in televisions and calculators. Everybody said it would be trouble free because there were no moving parts. LOL! I guess the relay that failed did have moving contacts in it but it was the easiest to diagnose. It's harder to find (visually see) defects in an electronic board or an ECU. - And they had to destroy the relay's outer shell to confirm it was bad. - Not like 'old school' relays that had exposed contacts or that were covered in clear plastic.
I was frustrated when they hadn't found the problem and wanted to start ordering parts to swap out. At least they were going about it by choosing which components were likely culprits. Finding the faulty relay was a relief. It may not be the only issue going on but at least it shows they're on the right track.