A button sends a message, not electricity
In conventional wiring the switch on the wall sits in the middle of the lamp circuit. The 230 V phase runs to the switch, through its contact, and on to the luminaire. Move the switch and you move the cable.
KNX separates the two. The push-button is connected only to a bus cable carrying 30 V DC, and pressing it puts a short message on that bus. A device on the DIN rail in the distribution board hears the message and switches the mains. That is why the diagram shows no 230 V line anywhere near the wall devices along the bottom.
The practical payoff is that any button can control any load, and changing which button controls which lamp is a change in software rather than a change in the wiring.
What the relay actuator actually does
The actuator receives the telegram and closes a relay contact. Each of its four channels is a separate contact, and each contact switches only the phase. Neutral and the protective conductor run to the luminaire from the busbars in the board and are never interrupted.
In this example channel 1 feeds Light A and channel 2 feeds Light B. Channels 3 and 4 are spare, which is normal practice, spare channels are cheaper to install now than to add later.
Where DALI fits, and where it does not
Light C is a dimmable LED strip, so it is not switched by a relay at all. The KNX-DALI gateway translates the KNX telegram into a DALI command, the DALI driver receives that command, and the driver decides how much low-voltage DC to send to the strip.
DALI is a control bus, exactly like KNX is a control bus. It carries no useful power and it never lights the strip. The two DALI cores can share a cable with the 230 V feed to the driver, which is what the five-core cable in the diagram shows, and the pair is non-polarised, so either core can land on either DA terminal.