I don't know what relay you are using but that is wrong.  I'm curious what relays are doing this horrible thing and I'll add a test to my relay test suite. I wrote a relay https://github.com/mikedilger/chorus and I assure you it does not behave that way.

You connect and subscribe to a 1-week period for DMs.  You get all the DMs over that week, then an EOSE.  Then when the next DM comes in, dated 7 days ago for example, it shows up by itself under that subscription without any repeats of data that came before the EOSE.

This behavior could happen if your client disconnects when it gets an EOSE, because when it reconnects and submits the REQ it will get the entire week again.