Hi Snub,
Some one has incorrectly used the symbol for a relay with built in diodes on the circuit diagram that you posted. After looking at the data sheet there are no diodes built into that relay, though they could have been. You will have to add diodes yourself, any 1N4007 will work. The 1N4007 is rated at 1000 volts, 1 amp.
You mention how they could incorporate diodes into a housing of that size along with all the other bits, well the die size for common diodes are only a couple of mm in area, and they wouldn't have any packaging around them to increase the size either.