Does it match the diagram in picture below?
Yes the diode is inside the relay from relay pin 85b (in picture seems 86b but I guess it is 85b to be coherent) to pin 85. When you pull out the relay, grounding socket pin corresponding to pin 85 (or 85a) shouldn't light the pilot, grounding 85b will ground pilot light.
The interesting thing is that unloader relay is a 6 or 9 pins relay, and you listed only 5?
If you have a continuity tester (multimeter) you can check there is a diode between two pins just testing forward and reverse polarity, only one rings the bell.
Some pictures of relay pins should help unerstanding what is going on.
Also is the socked for your relay just like the one below? Pins are 4-85b, 9-85, and 8-86, as you can deduct from the drawing.
You can also check continuity from relay socket pin 9, to Data link connector pin 12. Should ring the bell.
Javier