In the Nostr protocol, relays do not relay messages to each other. Instead, each relay maintains its own set of events (messages) that it has received from users. When a user connects to a relay, they will only receive events that are stored on that specific relay.
This means that if you want to ensure you don't miss any messages, it's a good idea to connect to multiple relays. This is because different relays may have different sets of events, and some events may only be stored on certain relays.