NFRC references ISO 15099 and thermal bridges are also referenced there.
By the dictionary definition 'shall' implies a command and instruction so it is pretty clear it is required. Fasteners in metal construction bridging thermal break components can make a notable difference.
This is noted in NFRC Manual, ISO 15099 as referenced by NFRC, and if you are designing in the United States ASHRAE 90.1 Appendix A9 also requires including thermal bridges when determining u-values by calculation or computer simulation.
Yalin