This doesn't sound normal to me. My understanding is that it's exactly what the relay is designed to prevent. I get no 'thumps' when switching sources or sample rates on my 818v3 when using analogue speakers with the relay operating. I never got any with different sets of analogue speakers using an 808.2i, or the 818v2, either, but I've never owned an 861, so maybe others could say whether it's normal behaviour for one of those units...?
818v3, DSP7200.2, Oppo BDP-105, Sony VPL-HW55ES projector, Kimber Mains Cables, Russ Andrews Torlyte Equipment Rack and Mains Filtration, GIK Acoustics Room Treatments