The surface of Solid State Relays or a heat sink is never entirely flat. If you mount a Solid State Relay directly on a heatsink, there will be invisible gaps between the two parts. Since air conducts heat poorly, these gaps have a very negative effect on the heat transfer. Therefore, an interface material with a high thermal conductivity is needed to fill these gaps to improve heat conductivity between SSR and heatsink. You can decide between using thermal paste (or grease) and thermal pads.