Those power supplies have a LED in them that comes on when powered. Does the LED on the relay come on?
I assume it's wired something like this?
View attachment 100155
I would jump out the relay and then turn the power on and see what happens. That would tell you if the relay is not turning on. 4.6 volts may not be enough to turn it on. I know it says 3-24VDC but you never know. If you have a 12VDC wall wart, you might try that.
'I'm confused by this diagram because it shows a connection to the #4 terminal and load. Is this correct?
Not sure what's going on with this because I was able to lower and raise the Z axis with my battery powered drill with little effort. I would think the 4200 oz in stepper motor would have more power than the drill.