You have the strobe (green) in the relay output, but you have not connected anything to the common of the relay, connect a piece of cable from the 0v to the common, the next terminal to the green.
The other option is to move it to output 1012, this also defaults to strobe, in fact any other output can be used if you change the output programming.
It should be noted that technically the strobe should go though the relay as it potentially could draw higher current than the output can provide.
Remove the yellow cable from the BATT terminal on the siren. Connect the small black wire to the BATT terminal, this is the battery back up, this will also make the siren sound correctly.
The current regulations state that the strobe should follow the bell, so on these units the strobe flashes while you trigger the siren input (R-), the strobe input is used if you want to use it for another function, ie. confirm set = strobe flashes a couple of times.