When wave soldering, much of the metal heating is done by the solder itself.  
So as solder travels up the pin and hole, a large heatsink (non-relieved plane) 
can stop the solder flow.

When reflow soldering, the board itself is heated.  So even external planes and 
SMT pads do not need thermal relief.

That's for holes/pads connected to pins/leads.   Those are NOT "vias".

Vias don't get a pin in them, don't need solder, there is no thermal 
consideration required.  Best to directly connect to the plane, for electrical 
and fabrication concerns.  For the same reason your fabricator wants to 
remove non-functional pads, they would rather not have themal vias.  If you 
have a via carrying enough current to need solder fill all the way through, the 
thermal spokes are going to need to be large enough that they will not provide 
much thermal relief anyway.

So the short answer is vias never need, and probably should not have, thermal 
relief.  (but never say never)

Pete

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