Technically, yes. RELAY exclusively supports ERC-20 tokens, requiring ETH to be wrapped as WETH. As such, using WETH is still a standard way to trade. However, in trades that start with ETH, RELAY builds the wrapping function into the trade, eliminating the need for two separate transactions.
Please see the below screenshot for an example of an ETH to DAI trade:
When the above trade occurs, RELAY will wrap your ETH then directly trade it for DAI, without the need for you to manually wrap your ETH. Note that wrapping is not required when trading non-ETH ERC-20 tokens.
For more information on WETH, please see https://weth.io.