Scooter,
Great question! The safety guy is correct in saying the relief valves for piping systems designed in accordance with ASME B31.3 have to meet certain ASME BPV requirements.
THESE REQUIREMENTS ARE LISTED IN ASME B31.3, PARA. 322.6.3
(Please read that paragraph.)
It says the RV must comply with ASME BPV Code Section VIII, Div 1, UG-125 ... etc ... BUT!!! EXCLUDING UG-135(e) and UG-136(c) (Note: I'm reading from a 1990 edition, so check the latest edition.)
ASME BPV Code, Para. UG-136(c) requires the valve to be ASME coded, but this paragraph is specifically excluded by the piping code as I've noted above. Read UG-136(c) for the full explanation of what is NOT required for piping code reliefs.
So instrumentation RV's need not be Code stamped! That's the big difference between the piping code and pressure vessel code when it comes to RV's.
One other note, see also reliefs from Generant and Fluid Mechanics, two very good suppliers IMO. (Generant used to mfg Circle Seal valves, and still does under their own name with much better price and service.)