[Fulltiming]

The auxiliary solenoids are a safety device to prevent connecting the shorepower and the generator together if a relay jams.

Yes, but then the fuse would blow and cut off the power.

Not necessarily, an example would be if the shorepower went down and you switched to generator power. At that point, your generator could be backfeeding the shorepower, a situation you never want to occur.

The Auxiliary Relay in my 1992 is a Square D D9999D01 Transfer Switch Interlock.  http://www.alliedelec.com/square-d-9999d01/70060531/