Yes, you can have a relationship with Dharma. In fact, you’re in relationship to Dharma right now, that is, Dharma in the sense of “Truth”. Whether you are living in fuller or lesser sympathy with Dharma, though, is a different question. To live in sympathy with Dharma, is to “worship” Dharma, because “worship” essentially means to “give worth to [something]”. If someone finds Dharma worthy, then that person will live in a way that is in sympathy with Dharma.
Dharma can also mean “the Path of Truth”, the practices and beliefs one engages in, in order to live in sympathy with Dharma as Truth. And then you have the Buddha Himself, who, as the realizer of Dharma, is therefore one with Dharma. Entering into relationship with the Dharma, means entering into relationship with the Buddha, the realizer, and the Sangha, the community.
I agree that when we find Christ, we need not look any further, but the process of theosis implies that Christ can only be lived more and more deeply, not found in His totality, completely, and comprehensively. If God is infinite, how can one ever stop exploring that infinity?
Let me clarify: I am aware that the Catholic Church claims to be the place where truth subsists. That does not mean I am unconvinced of the Truthfulness of that claim. I would say that many non-Catholics, certainly in Western countries, could say something similar. And the Catholic Church would put those people in the category of “may be saved”, which, I might add, is also the category the Catholic Church places people who are Catholic. (However, it is true that being Catholic is believed to give you a greater potential to be saved.)