Generally, Ripple protocol designs have assumed that users on the network that needed to communicate directly would be able to address each others' identity on their server directly over the internet (user@server), and not need to encrypt and relay messages through the trust network.

However, for greatest privacy, there may be times when it is useful to send private messages over the trust network so neither party needs to know the other's server, or the other's username on that server. One example could be when setting up a proxy -- not knowing the other's server might be important for privacy.

The Relay message accomplishes tunneling.