Well I guess you could say "kind of" they are attached to metal din rail mounts that probably provide some heat sinking but not much... Also there is no thermal compound under them....
Bingo! So the relays are 240 vac @ 10 amps so I'm sure at full load and max switching they will get hot, however neither is the case here. These drive small 120v pneumatic valves, and they have a super low duty rating like 5 seconds out of 60! It looks like the oem dust controller has a range of up to like 3 seconds max. So if you look closely at the HMI display you will notice a cool down timer. The timer is used to prevent the cleaning "cycle" from repeating more than once per 60 seconds, I currently have it set to 1 second, with 1 second between the banks ( to allow the air to refill the "air tank" mounted on the collector) so it's over in 8 seconds then waits 60 more. Also under "Normal" operation this will probably be a rare event as I assume that the thing will not need to clean the filter banks more than a few times per day??