Hi Roelli,
Welcome to our forum. ;D
It is good to hear that your project works great, but it is too bad that you are worried about it dying.
The LED lights whenever the load current exceeds the setting of the current-regulation pot. Maybe you will need its current regulation and don't want it to shut off by your relay idea.
Shorting the output when its current-regulation is set to a high current is nearly the same as setting a low voltage of up to 6V at full current (3A). The Q2 and Q4 transistors will still have a high voltage across them which when multiplied by the current makes a lot of heat. With the recommended 30VAC transformer, Q4 must dissipate 117W with its 3A output shorted. So a pretty big heatsink or fan cooling is needed and Q4 should be two paralleled 2N3055 transistors (with emitter resistors to match them).
Q2 must dissipate a max of about 4.8W which is way too high for a little 2N2219, so a TIP31A real power transistor on a finned heatsink is recommended as its replacement.
We have discussed how its original little 2N2219 for Q2 will die due to overheat, and the same for a single 2N3055 for Q4.