Iterating an array of relays
the loop does not and won't upload to the Arduino


Most likely because RELAY_OFF has never been defined anywhere. Change that to HIGH (if that is what your relays need to turn off), or define it somewhere.

Also there is no loop() function - is that just you being economical with the paste?


  Secondary question is how to convert the counter i to a string to concatenate the message.


Simple: don't.  There's no need.

Serial.print("Relay ");
Serial.print(i);
Serial.println(" set HIGH and as OUTPUT");