I also thought it was odd and had another look at the relay board (a bit of noob here). There is a Hi/Lo jumper and it was set to Lo. When I changed it to Hi, I could connect the relay as normally open, what I expected. This also got rid of a on/of flash when booting up.
But the blinking still remains. When I turn the relay on for a minute it will go on then off every few seconds. It is not a consistent blink, Sometimes it goes on and then off immediately and vice versa. It never stays on or off for more than about 6 seconds. I measured the voltage coming from the output pin and it drops to 0 intermittently.