It's been a while since I've used Wink Relays in my home, but I'm pretty sure I included an option in the STWinkRelay app for choosing what action is taken when the button is pressed just like what @Tony mentioned. (Eg. control relay or do nothing)
The 'Control Relay' option should control the built-in relay and whatever load is connected to it like a normal light switch would.
The 'Do Nothing' option is for the situations you mentioned - running a scene or controlling other devices through rules on the platform. (eg. the button push event is sent to the platform, but the built-in relay shouldn't do anything)
