Since you're new to electrical, keep in mind what a relay does: It is just a switch that is turned on/off by another switch or circuit. Literally, the mechanism "relays" (or switches) your control (on/off) to the other circuit.
Why are relays needed then? Classic example: If you have a high amperage circuit like headlights or a light bar full of lights that create a large electrical load, and you want to switch the lights on/off with a smaller (low amperage) switch, or a switch that can't handle the high electrical load of headlights, then you let the relay do the switching of the lights, and you use your small/tiny/low-amperage switch to turn the relay on and off. One benefit to this (the heeadlight scenario), is that you can avoid having to run thick gauge electrical wires all the way to the on/off switch. Instead, all of the big wiring hits the relay, and you use smaller/thinner/lower amperage wires to switch the relay on and off.
As has been posted already, if you have a 40 amp switch then that is heavy duty and you would be less likely to need a relay in the circuit. I think automotive relays are typically found in amperage ratings of 10 to 50 amps, so your 40 amp switch would take the place of most relays.
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