The kit (stebel atleast) comes with a relay. You should technically run a fuse too. I never did, and i've had a few instances where my finger was on the horn for over 40 seconds at a time. Supposely without the relay, the horn is really week.
You're correct and since it is carrying a fair amount of current, I think it must be fused and run directly from the battery to the relay. I reviewed the wiring diagram and I don't see a relay in the horn circuit. As long as the horn switch is used to close a relay, the bike's wiring is safe. Running the horn directly from the existing wiring is a bad idea, and it will be weak-sounding as well.
I believe the Stebel install instructions make this clear - I was just making the point again so that someone doesn't just plug in a stebel and burn up the switch and/or wires.