Hardly a week goes by without one folding due to hacking, mismanagement, or outright criminal activity. Seems like they need someone to keep up the churn or they might run low.
I think you have a misunderstanding of how the protocol works. At no point do your assets "go into the relay." The relay only takes your signed orders (not the actual assets), and the tokens literally do not leave your wallet until the time the trade is executed. No trades can be executed unless they have a signature generated by your private key.
0x is a decentralized, non-custodial exchange protocol. The UI could have malware though, which is why it makes sense for various relayers to have a single UI.
