Steve,
That is not a relief valve, per se. It is the fill plug for the glycerine fill. However, gauges do have an airspace in the top of the gauge. It is this airspace, on a sealed gauge that can expand or contract with altitude differences between the manufacturer and the end user. This plug also serves as a means to vent this differential.
It is for this reason that the fill plug is popped off the gauge upon installation to equalize outside pressure, with that of the internal airspace inside the gauge. In most cases you can simply replace the plug and be done with it. However, on vacuum gauges and in some cases on pressure gauges, you might want to snip the "tit" on the plug to permit a small venting hole so external barometric changes don't effect the accuracy of the gauge due to a differential between the outside, and the inside of the gauge.