creating a premanent relationship within the database would relieve me from having to reestablish it all the time with separate code. Was I wrong? If so, what's the advantage of setting the relationship in the database? Anything besides referential integrity?

Unless you need your VFP database to be accessed from outer world
via ODBC, web etc , and to be updated from there via SQL updates,
I don't see real advantage of having PR-s set.

On contrary, VFP databases with large number of tables and complex persistent relationship sheme, might end up being real nightmare to maintain, and develop regular VFP app against it.

Just my 2c

Rgds++
Sergio