The only thing I have personally experienced with not running the relay harness is that sometimes one of your lights may not fire up. This has happened on my FJ even with only running the 35watt kit. When this does happen, only one of the sides fire up.
The first time it happened to me I only had the kit for about a month, and I was thinking…..great one of my bulbs is bad already??? But it fired back up after turning them off and back on again. In the beginning it happened to the same side a few times so then I was looking into the wiring seeing if something was wrong with that one side. But after more time passed it has been totally random as to which side fires up and which side doesn’t. This issues may only happen like one time a week or once every other week, but now I just watch for it.
Turns out after much research the HIDs are not getting enough to start up both sides, even though the kit is a 35 watt digital slim kit. I still have not added the relay harness to my FJ to makes sure that this is 100% the problem, but it seems to be the consensus and it makes sense to me.
I run the 55W kit without a harness, and have never had this happen. I guess your mileage may vary...