Put a DC voltmeter between The Yellow/Blue wire and ground. With the ignition switch on, put the gear selector in neutral and/or push on the brakes such that the brake lights light up. You should see the voltage there jump up to 12.7 volts or so (with the engine not running). That will verify that you are getting power to the relay coil.
Check the resistance of the relay coil (Rhino ignition off or and/or relay coil unhooked, lest you burn up the meter), The coil resistance spec is not shown in the repair manual, but I would guess that it should be more than 50 Ohms and perhaps as high as 250 Ohms. If it reads open (very high resistance or OL on a digital meter) the coil is open. If the resitance is very low it is probably internally shorted.
A bit more involved is Yamaha's starter relay test. It is on page 9-18 in the early Rhino service manual. It involves disconnecting the relay. Putting an ohmmeter across the contacts (where the big red and black wires are bolted on) and then applying 12VDC to the coil. If the contacts close, you will see the meter drop to a short (0 Ohms).
2004 Rhino 660