Well Key-Less and Key-switch-Bypass Headlight Relays are two different things
The 'traditional' relay bypass system
There are two features of a key-switch bypass, headlight relay system (as applies to the early models i.e. pre-Roadster):
1. It bypasses the current to headlights from going through the key-switch, removing the threat of melting the solder pad which causes failure of the switch
2. It improves the voltage at the lamp socket which results in brighter, whiter light. i.e. more volts = more lumens.
How are these features affected by LED?
1. Lesser concern, since you are dropping from 12A down to about 7 (just slightly more than a single-lamp Touring model) - it may still be worthwhile, just for peace of mind, to eliminate any potential
2. Moot - the voltage is already being reduced from what is supplied with an LED, plus the voltage drop would be less anyway, so there is zero performance value.
With a Roadster there is no headlight current through the key-switch anyway, as has bypass relay already built-in*.
Slightly different in execution however and you may still still realize some performance improvement (although not as much as you would in say a Classic) with incandescents; however not a consideration for reliability OR performance if running LEDs.
Regarding KeyLess - that fundamentally bypasses the key-switch anyway, so addresses the reliability aspect regarding failure of that component.
It does not necessarily give any performance improvement for incandescent however, so separate relay upgrade might still be beneficial there.
But for LEDs that additional relay set would not be required and again, for Roadsters with incandescents that extra relay set would be of limited value.
*Note that 'early' Roadsters (up VIN 482857 and from 500141 to 503166) did not have this, but there is a Factory upgrade kit that facilitates this to the later design (not sure if this was a recall or goodwill upgrade?)