So I presume from your statement that you're also then going to have all of the volume controls and selector switches removed from your audio equipment as well? After all, those components are of a far bigger potential detriment than a signal relay.
Additionally, it's also worth noting that many other "unprotected" amps exhibit no meaningful shutdown transients. For example, I have personally measured the amp I'm listening to right now and it consistently has shutdown transients in the single-digit-millivolt range that take 5-7ms to die out. If you design the circuit to be relatively stable during shutdown, then experimentally verify on the prototypes, and then verify again on a production sample, it's a reasonable thing to leave out. Unfortunately, in this case, we have an amp which two production example of are exhibiting high amplitude, long duration transients that are well in excess of the hazardous level as specified by AKG.