There was also a light on in the relay box. The relay box contains a safety trip and the light shows that it has tripped. Press the flex circle over the light to reset the trip. There can be several causes for the safety trip to trip. If you want to remove the relay it can easily be removed by undoing the screw in the center and just pulling it off the mounting box.

1. The heater ignited ok but cant detect it because the sensor is dirty or faulty. Try pulling out the sensor and give it a clean.
2. The heater has failed to ignite because the spark is not working.
3. The heater has failed to ignite because the oil is not pumping.