You connect it across the solenoid coil so it is normally not conducting. It is there to "catch" the rather large inductive voltage kick a solenioid gives off when the power is removed.
Put it in there and the voltage seen by the relay contacts is small and controlled.
Leave it out and the relay will fail sooner rather than later.
Put it in there and the voltage seen by the relay contacts is small and controlled.
Leave it out and the relay will fail sooner rather than later.