So for pin 36, it should goto the relay, then to ground. Im assuming that pin 36 is an ignition power point. This would be the control circuit. Then the actual power for the pump would come from the battery, to the relay, then the pump, then to ground.
The relay could realistically be located anywhere on the circuit, but i would be checking around the battery, engine bay fuse box, and the pump. There may be a spare spot for it in the engine bay fuse board. They generally look like small black boxes with at least 4 pins. Typically they plug into a socket, to which the connections are made.
Once again im not a super charger professional, but i still think that if there is no relay, and a short did occur, all that current would go through the sensitive electronics of the sjb, then to the point of the short, which would "let out the magic smoke" typically. A relay isolates the power circuit so the worst case scenario would be burning the relay, which are cheap and easy to replace. It also allows you to use a significantly lower fuse on the control circuit, so if a short occurs on the control circuit, less current will pass. Considering that the front of a car is the most likely place for mechanical damage, i would be installing a relay for anything mounted up front.