" So I keep hitting the (close) relay to keep the pressure on."
ok you need to be asking yourself why you loosing pressure between the valve and the cylinder, when lifting heavy loads.
So the load still holds when you have the valve open, and keep supplying it with oil from the pump. Therefore we can say 2500 PSI holds the load ( I dont know your machine, but I will take a guess its 2500 PSI ).
So why we loosing pressure in the line then?
1/ Is there any external oil leaking from that circuit?
2/ Seals are interanlly leaking in your cylinder ( most probably )
3/ Control valve is leaking internally ( not very common, but have seen it happen )
4/ If that
Grapple circuit is fitted with secondary relief valves, then the load could be too heavy, and the pressure has reached the set pressure on the secondary relief valve and it dumping some oil back to tank.
Or the secondary relief valve is adjusted to low or the seals are leaking internally.
Adding a check valve will not solve the problem if you have leaking cylinder seals.
Adding a check valve to the circuit would cut out, the secondary relief valve if you have one. The secondary relief valve is there to protect your circuit.
If you were going to add a check valve, it would have to be a pilot operated check valve. A normal check valve would not allow return oil back to tank.
A pilot operated check valve has pressure oil from the other side of the cylinder to open the check valve to allow return oil back to tank.
Duff