The product CJ linked is really just a fancy splice connection. Relays may or may not be needed depending on what you have on a particular circuit. Even with a relay, you'll need fuses...they serve very different purposes. And without at least a switch, an attached device will always be on if you wire that strip directly to the battery.
The easiest example is probably headlights. The switch on the dash is simply too small to handle the kind of current drawn by headlights. Not to mention the hassle of running appropriate sized wiring from the underhood distribution block to the dashboard and then back to the lights. So, instead, you have a relay underhood that normally leaves the headlight circuit open. Turn the *low* voltage switch in the dash to on, and that low voltage (with small wires) closes the relay thereby completing the high power circuit for the headlights.
Most likely, you're seeing people put one relay between the battery and distribution strip to power the whole thing since a basic 12v switch would be too small. Then, depending on what's on each circuit, there will either be a relay or switch to that specific device.
Fuses are just there to blow if something draws too much current...essentially sacrificial pieces of "wire". A switch or relay will simply pass whatever current it sees until it melts, but usually by that point you're burning wire insulation and potentially the whole vehicle. Properly fusing the line for the load and wire size as close to the power source as possible helps avoid this situation.
-Brent
