As I mentioned, I hate using diodes. I've seen times where they will bleed and cause all kinds of issues trying to troubleshoot circuits. This was in an industrial environment where downtime costs were $1000s/Hr so we discontinued using them unless necessary in bridge rectifiers etc. The reason for the 3rd relay is 2 fold.
1) I will have 3 fuses or circuit breakers protecting the circuits so, if I hit high beams and there's a short going to low, I still have power to high and vice a versa.
2) Each circuit in turn will always be protected separately.
You're right in using circuit breakers but, I would only use one in the low beam circuit. All the others, I would use fuses since, if I have a short I don't want it to keep resetting and add more heat which may cause other issues like arcing and fire maybe? I would also go 150% of rated load to eliminate ghost issues from in-rush etc. The wires need to be rated at least as high as the fuses. Just my opinion as well as NEC.
We all have our own way of doing things and I don't want to piss anyone off - I'm just going by my life's experience in industrial automation and controls