You can leave thermal reliefs on the inductor, resistors and small signal capacitors. Layout is very critical with SMPS designs to prevent false triggering and subharmonic oscillation. Hope that helps.

The large bodied capacitors should indeed avoid thermal relief unless absolutely necessary for manufacturability -- extra parasitics are not a good idea, and you will notice that the reference layout does not include them either. Thermals on the resistors are indeed a non-concern in this case, though their function is a low-current, and the extra resistance is insignificant compared to the resistors themselves.

When ons of my professional friend review my SMPS layout, he definitely recommended I remove all the thermal reliefs on the input and output capacitors because they add inductance and degrade the performance.