Relays are included from your config in the zap invoice so that the zapper knows where to send the zap to. Damus will add anti-fingerprinting techniques in the future such as randomly dropping relays, etc

Its the only thing that could be used to de-anonymize an anonymous or private zap, but its more of a theoretical concern. People looking at zaps can only guess that its you based on the relays, there’s no way to know for sure.