The function of the relay is to heat the O2 sensor before the engine gets to the operating temperature as I understand. Once the engine is warm the voltage to heat the O2 sensor is not used or not needed. The temperature from the exhaust gas then excites the O2 sensor to provide feedback to the DME. So the more important aspect is if the O2 sensor is functioning correctly at temperature.
As for the relay you can physically test it unplugged by using battery power.
'01 540it, 6/01
'03 325i 5 speed, 9/02
'10 535ix. 9/09
'10 mini 6 speed
'15 mini countryman 6 speed