sounds to me like you have the relay wired wrong or it's faulty. Again break this down into 2 halves.
Also, the OUTPUTS provide a path to 24V rather than 5V so test between 24V-0, not 5v-0.

#1 Test the VFD parameters are correct by touching a wire between CM and X1, if the parameters are correct the VFD will start, make sure there is a speed set in UCCNC first and do an M3 (start spindle) so the VFD see's the 0-10v).
#2 Remove the coil wires and put a meter between and measure the voltage. You should see 24V, if yes then you have a faulty relay or miss wired it. Also, check the relay coil is DC rather than AC which is a common error when buying relays.

The instructions I gave you last night regards the relay on/off and UCCNC setup are not a maybe, I do this on every machine I build so it's well-proven.