Are the relations you've annotated syntactic dependencies? If not, training a dependency parser doesn't really make sense and it's expected that it won't be able to learn from your annotations.
spaCy doesn't have a built-in component for generic relation prediction and the type of model you choose will depend on the type of relations you want to predict. So you'll have to bring your own model implementation that fits to your specific task. Using db-out, you can export your Prodigy annotations and the data should include everything you need: the tokens, their offsets and the labels relations with references to the tokens they connect.
Also see this thread for some pointers re: custom relation prediction: