Are you SURE that the fuses are instact (not blown) ? Look for the little metal strip in the groove that goes from one end of the fuse to the other.
I suppose it could be the relay, but the last time my directionals ALL stopped working at once, it was a bad contact with the fuse and the "fingers" that hold it in the fusebox. This is a weak point in all these bikes and a simple, fairly cheap upgrade to REALLY improve the reliability is to take the old fashioned fusebox out and replace it with a couple automotive style sealed blade-type fuses - which are much easier to find when on the road and a fuse happens to go. Just a thought..