The reason is that volatiles in the silicone can contaminate the relay contacts. The same thing can happen with other mechanical parts, such as potentiometers and motors.
Usually if the PCB is soldered with the wave solder tecnique, the soldering temperature is nor sufficient for the relay terminals to get bonded to the PCB tracks and thus relays are manually soldered later after the PCB is coated with conformal coating. This is just one reason. There may be other chances too.
Cheers
Nick, How does the coating reaches the Relay contacts, as the contacts and coil are normally inside an enclosure. They are not exposed. Either ther will be a plastic or glass enclosure.
Pranam, what you said can be true if the relays are not assembled on the board. I think the question was not that.
Normally relays are not hermetically sealed even if there is no obvious hole. You used to be able to get ones which had a vent hole sealed with a removable label, but I am not sure if you still can. They were so the board could be washed after assembly.
Since the relays are not hermetically sealed, the coating material (silicone) could contaminate on the contacts due to the arcing while contact make or break.