I've just looked at the wiring diagrams and according to 417-01-00-022 there are no relays in the fog light circuits either front or rear. Did you have the ignition on when you tried? Having just been and tried our rear fogs, they went off when I turned the ignition off
Bit more digging on the wiring diagrams F69 which is the fuse for both sets of fogs is fed from an ignition switched realy
In respect the heated front screen switch when you say on all the time you do mean the small orange bar in the middle don't you and is this even with the ignition off?
54 Plate 1.6 TDCI LX ~aspiring to be something else