Issues with guitar effect loop switch pedal
The problem is the diodes on the audio path, it simply does not work if there is even one diode on the audio path, since audio is AC signal.
Simply arrange the DPDT relays to either bypass the audio, or route it via the send/return connections. You should use both relay poles for this so you can't drive the LEDs with relay, but there might be ways to drive the LEDs with other ways from the foot pedal switches.