Yes, there is relay in shortcut with diode.I'm not sure if that's the "sticker power" or not. If so, the output is a few watts, not 40.
The relay is likely there to short the input (for electrical damage protection), so you will probably need to power the relay before the laser diode(s) will accept a voltage larger than zero. Disassembling it further may provide some clues. It will not lase at 250mA. You'll need several amps.