This paper solves partially a question suggested by Fontbona and Méléard. The issue is to obtain rigorously cross-diffusion systems à la Shigesada-Kawasaki-Teramoto as the limit of relaxed systems in which the cross-diffusion and reaction coefficients are non-local. We depart from the existence result established by Fontbona and Méléard for a general class of non-local systems and study the corresponding asymptotic as the convolution kernels tend to Dirac masses, but only in the case of (strictly) triangular systems, with bounded coefficients. Our approach is based on a new result of compactness for the Kolmogorov equation, which is reminiscent of the celebrated duality lemma of Michel Pierre.