I see this a lot. You do not need a relay to run the small MAC valve, it only pulls a few milliamps.

The issue is the MSD 7531. It will not fire off the shift light unless it sees the dark blue wire (2 step) activated. It's a programming part of it's internal logic. What I do as a test is hook everything up and turn the bottle on, then turn the ignition switch on. It will try to fire off the shifter solenoid on start up. If it does that it is wired up correctly.

Then just activate the dark blue wire and run it up to the 2000 rpm setting and it will work.

12 volts to one wire of the solenoid, yellow MSD wire to the other.