It still sounds to me like a fuse, check both sides of the fuse with a voltmeter to make sure you have voltage coming in and going out. Someone else may be more suited for the dash lights but as far as the relay goes, you shouldnt have to pay 40 for a relay unless that includes installation, then that is about right. If your keyless didnt come with built-in relays yes that is the only way to do it. Even if your lock/unlock was to be used, you'd still have to use a relay.
-There are 10 kinds of people. Those who understand binary, and those who do not.
-If we ever forget that we are One Nation Under God, then we will be a nation gone under...Ronald Reagan