Depends on the type of "relaxation exercise"
That which is just a guided "feel your leg relax, feel your arm relax..." etc is just to make one aware of each muscle group and relax the muscles and tension in them.
There is also guided relaxation where you imagine yourself in a safe place and can learn to go to that place if things get scary.
There is the relaxation where you can learn, like deep breathing, concentrating on your breath when you feel you are begining to panic or have anxiety...
There is also meditation exercises much like relaxation.
I do have to remind myself to breath when in therapy and to be aware of my body, what it feels like, etc. Helps grounding.