Did she ever say they had a relationship?

All we know (as far as im aware) is that Dumbledore fell in love with Grindelwald, which explains why he went along with a lot of his antics. It's never stated (again, as far as im aware) that the feeling was mutual.
We see in the second FB movie that Dumbledore shows his desires in the mirror of Erised.
This makes perfect sense if his love was never answered, but he turned away from Grindelwald after Ariana's death showed him what Grindelwald was capable of and that he was serious in his plans.
He snapped out of it and started working against him, but that doesn't mean he doesn't still hold a desire for things to turn out differently.
Even if they did have a relationship, it can still be argued that Grindelwald only did it to play Dumbledore into his hand. It's a thing psychopaths do.

Either way, Dumbledore was never open about his desires or sexuality, so it would be very strange to show it in the open. Maybe there will be more when we actually see the two of them meet on screen.

I really don't understand why people want it to be in the open so badly and at the same time scrutinize Rowling for doing it as fan service.
Let it be subtle and don't smash us in the face with it. When I first heard that she said it, I wasn't at all surprised.
One-sided infatuation on Dumbledore's part PERFECTLY explains his actions in his younger years. I never liked the idea of him not wanting to face Grindelwald because of this, but they cleared that up with the blood oath.
Again, it is reasonable for him to think this is a good idea to do in his younger years and now regret it in his later years.
Grindelwald's intention, seeing Dumbledore's potential, may have solely been to get that blood oath with him, effectively taking him out as opposition.

I have a lot of complaints about the FB films, but the way they portrayed the Dumbledore/Grindelwald relationship isn't one of them.