Connecting a wire from a relay with no power to the relay with power often makes the first relay still not receive any power (at least the animation of light traveling through the wire isn't shown and the blinking icon of no power is displayed on nearby devices). If one makes connection from the relay that is receiving power, it's being relayed properly.
Yes this is as intended for puzzle and such. Electricity in Sand runs one way and must be connected from powered to unpowered). I might change this if I don't use it for puzzle missions.