We have some relays that work fine, but the LEDs don't work well as indicators. I'd use a meter to see if there's actually output rather than going solely with the indicator.
Also, if the direction of the relay is set to kBoth, you can have a 4th state using Relay.Value.kOn. kOn puts 12v down both M+ and M- at the same time. We use it to control two separate items with the one relay... See the IFI Spike user's guide:
http://content.vexrobotics.com/docs/...uide-sep05.pdf