How do I receive messages on a relay Apple email?

Do you mean mail addresses obfuscated by Hide My Mail? (that's a little different from relaying)

If you use Hide My Mail to create a dummy, disposable email address, then Apple will simply forward any emails sent to that address to your normal iCloud.com email account. They'll appear in your inbox along with your normal iCloud email, until you kill that email address.

You don't need to do anything specific to get these messages (e.g. setup an additional account in Mail.app to retrieve them).

You might start here:

Create unique, random email addresses with Hide My Email and iCloud+ - Apple Support

Use the navigation arrows at the bottom of the page(s).