YOU took it to THEM. Hell $40 for the tow was a STEAL, without AAA or a friend with a truck, I've never paid less than $100 for even a short tow, after hookup fees, ect.
As far as the filter and pump goes, it's pretty standard to replace them all at the same time. Reduces the chance of problems later. The screen might as well be replaced at the same time, the pump is already out. Sounds more like they diagnosed it as a fuel pump problem, and once they replaced the pump and filter, found out it was the relay.
Moving on to parts bought on your own versus the shop suppling them- you will always pay more at a shop, as explained they are businesses. Typically you get some sort of warranty either way, but a good shop will cover their labor as well.
If you take away the margin we make from the product, the only thing left is labor. Profit on labor can not sustain a business, unless labor rates are inflated even higher.
Welcome to owning a car that requires maintenance.