With an interactive session.
> tex
This is TeX, Version 3.14159265 (TeX Live 2017) (preloaded format=tex)
**\relax
*\message{\string\relax}
\relax
*\message{\relax}
\relax
*\bye
No pages of output.
Transcript written on texput.log.
The fact that \message{\string\relax} only prints \relax means that \string is expandable, because unexpandable tokens are written as themselves by a \message, like in the example with \message{\relax}.
By the way, inputting \message{\string} will print nothing on the console, because \string has performed its duty and stringified }, so the text for \message is unfinished. Typing in another } will end the loop and print }.
> tex
This is TeX, Version 3.14159265 (TeX Live 2017) (preloaded format=tex)
**\relax
*\message{\string}
*}
}
*\bye
No pages of output.
Transcript written on texput.log.