I've created a Database Model relationship diagram in Visio with tables and relationships. However, I can't find any way to automatically display the Primary Key :: Foreign Key relationship in the diagram. The only workaround I can find is to insert a text box on top of the relationship and manually type it in (see image). Or you can kinda do the same by naming the relationship and displaying that. However, both of these are very manual and time-consuming. Plus I've already defined the relationship, so why should I have to type it in again!?
I realize that this post is old, but just in case you have not found an answer: http://office.microsoft.com/en-us/visio-help/define-a-relationship-in-a-database-model-diagram-HA010115484.aspx#BM4 (Section Show relationships and their properties in a diagram).
Hope this helps!