The elimination of relaxation resulting from spin-exchange (SE) interaction is crucial for ultrasensitive atomic comagnetometers. In this study, we demonstrate the SE relaxation is only partially suppressed and significantly broadens the magnetic linewidth in the K-Rb-21Ne comagnetometer. The SE relaxation arises from the compensation magnetic field when operating in the self-compensation regime. We propose a new method to measure the SE relaxation in the self-compensation regime where the alkali-metal and noble-gas spin ensembles are coupled. In the presence of SE relaxation, we find the optimal alkali-metal polarization for maximizing the sensitivity is shifted from the typical value. Under various conditions, we present a detailed study of the SE relaxation and the scale factor as a function of alkali-metal polarization, which are further verified by the theoretical models. The reduction of SE relaxation and improvement of scale factor by using 87Rb atoms is also studied.