At the risk of being over my head with anything beyond the valve itself, I should proffer here that the tranny is involved with the exhaust brake operation. The Exh Brk relay (K9 on mine) is fed from the shifter panel circuit breaker that's on the Ignition On side of the circuit breaker tree. It's likely that indeed your tranny needs to be in gear for the shifter panel to pass power to the relay.
If there's still no power at the relay even then, perhaps the left driver's sideboard needs to be disassembled for access to the underside of the shifter panel so you can check the connectors, or it may lift out easily enough. It's sort of a "mightaswell" since you may be there checking Chuck's suggestion anyway. Also on mine there are two other relays coming off the engine ECM, one for the Smartwheel and one for the brake lights, that feed into port 85 on that Exh Brk relay. Now it gets too complex for my wherewithal. Perhaps Gerald's diagram input will help.
I'd just go crank my rig up and verify some things for you, but it's shut down for storage. And your model is dissimilar to some degree.
Joel