Actually, I would not run two relays off of the same output. Some relays draw a little more than one might think. I do agree completely though that the water pump should ALWAYS run if the engine is on. I would guess that you would wreck the motor trying to cycle the water pump based on engine temp.
And yes, the ECU will shut the fan output off above 80% TPS. At WOT, maintaining battery voltage is more critical on an EFI car than it is on a carbed car. The fan is often a huge drain on the charging system, and it's more important for the fuel pump and injectors to work properly than it is for the fan to work at WOT, especially since most cars are rarely at WOT for more than, say, a 1/4 mile pass.