Ok- so you hear the new relay clicking? This is good.
Now as per diagram you have one side of the relay (pin 87) going to the new horn.
The other side of new horn going to ground.
Where do you have the other side of the relay (Pin 30) going?
I suspect you have it going to the closest battery like in the pic?
If so- You need to detach the wire from the new horn to the frame ground and attache this wire to the NEG post on the same battery as your P30 wire is attached to.
Note- this is the only time I will suggest this. Normally any accessories should not attach to any battery in the cart. Doing so will create an unbalanced pack. In the case of this horn I doubt you will be using the horn often enough to cause an issue.
Normally all of the 12v accessories should go through the DC-DC converter. In the case with this horn, it might pull a spike of more than 15A when it runs. I wouldn’t want to put that kind of stress on the Converter.