Having resolved the issue of multiple temperature sensors I then also wired multiple (4) relays. I connected the 4 relay shield to digital pins 7, 8, 9 and 10.
Surprise, they all work fine, with the exception of the one connected to pin 10. This flickered together with the Ethernet shield W5100 built-in LED.
So I have moved the pin connection to the next free pin, N. 11, but same issue. The same problem appeared also on next digital pins 12 and 13.
I have then tried to connect the relay to an analog pin, but also this did not work. It turned the relay on, but then it remains on and it is not possible to go to the off state. Same connection, to analog pin, worked fine in local (no Cayenne), so I assume it cannot be a wiring or sketch issue.