The relay does have its own fuse in the fuse box on some Escorts - and this could be the problem. Its a really low rated one, - I think its a 3 amp one and is purple. It could be fuse number one but I'm not certain.

If its not the fuse it's either the switch, a loose connection in the multiplug where the
ABS unit sits or possibly a problem with the main fuse box itself. These are a known problem on Mk5+6 Escorts and cause a range of strange electrical problems, although I've never heard of this one before.