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Hi, I'm Mike and I'll be assisting you. Please stand by while I review your question.
I agree that the red wired should be connected. Tie them together and check the heaters.
Don't know why that would be. Cables have only one wire of any color. If there are 2 reds, the norm would be one from the panel and one from the heaters. Check to know positively where they come from. If as stated connect them.
That indicates there are 2 240V circuits both have red wires. The black and blue wires are paired with the reds. Both reds connected to nothing says that the 240V circuit is open and the heaters don't have power. If you only have 2 red, 1 blue and 1 black at the relay the wires to the heaters are not there. You need to verify where they are.
OK, from your description of the wires the only thing I see as a possibility of not working would be is you have current carrying wires but no mention on relay control wires. You need a way to bring the relay on.
Yes they would be additional to the last mentioned wires and would be outside the box. If you check them for voltage you will know if the low voltage is.working. if you don't have a tester, quickly touch the low voltage wires together for a spark.
Find the transformer and test line and output to determine which is failed.
Not having low voltage is a transformer problem not a relay problem. The transformer can be checked with your tester on the line side and sparking it on the low side.
Transformer is in the relay. Put the low voltage wired together to bring it on. If not, it is defective.
Putting the red and white together should spark if the transformer is good and if left together bring the relay on. If not the relay needs to be replaced.
You need to get a 2 wire voltage tester to verify 240V at the relay line wires. I suggest flipping the breaker off and back on to make sure it has an output.
Very good, you're welcome.