So what's happening is the ignition switch controlled 'Supply Cut-off relay' is remaining energised when the ignition is off when it shouldn't. That doesn't necessarily mean that relay has a fault, it could be something upstream.
Like the heated rear window relay, this relay is also in the wrong place. The cut-off relay is in the boot, under the parcel shelf where the HRW relay should be!
It's the one in the blue socket -
The relay however is controlled by the 'Key operated supply relay' located in the fuse box ( middle one of the three on the left side of the fuse box ).
When the key is turned to 'MAR' the supply relay in the fusebox is energised and switches on a load of things. The relay output also energises the cutoff relay in the boot. So, either the key isn't switching off the supply relay when the key is turned off or some device is feeding 12v into this circuit thereby energising the cut-off relay. I suspect it is the latter and most likely related to your heater.
You can prove it's unrelated to the supply relay simply by removing the supply relay from the fusebox. Take it out and if the lights remain on, it's not the key.
With the relay back in, take out fuse F13 in the main fusebox. It's the third one up on the left main column. That's the left column of the two main columns of 7 fuses. If the problem is related to the heater control, the odd behaviour should now be resolved.
There are other possibilities which I'll go through in another post. But does the car have aircon or not?