The fact that you sent all of this info to the embassy without them asking for it kind of explains the response they gave you, in my mind anyway. They basically told you, "Bring the proof of your relationship to your interview". I don't see anything in there that is worrisome now. They were just giving you back your documents and basically telling you to wait until your interview day and the Consular Officer will request what they want to have, to satisfy them. Update this thread after the interview and let us know!