Bug: Simple Data Loader does not work on relationship classes
Data containing relationship classes cannot be loaded using the Simple Data Loader.
Relationship classes constitute non-simple data, so the Simple Data Loader is not able to work with it.
Use the Object Loader to load data containing relationship classes into ArcGIS.
Instructions for use of the Object Loader may be found in the ArcGIS Desktop Help under 'Building a geodatabase > Importing data > Loading data in ArcMap'.