I am no expert on wiring LED lights but I do believe they are terminal sensitive and only work when current passes through one way. From what you are describing it sounds like when the indicators are switched on the live is constantly connected and rather than being switched on and off by the relay and is just being weakened. That leads me to think the problem is in the indicator part of the circuit and taking into account what my understanding above that points me towards the relay operation. Again not fully understanding LED components my first thought would be to try reversing the connections on the relay.
KK
