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A thermal relief is used on plane layers for thru-hole components to make soldering and desoldering easier. Direct connect vias conduct so much heat away from the pin and into the plane that high temperature or long soldering time may be required to complete the joint - thermal damage could occur to both the board and the component from soldering or desoldering.
Themal reliefs are sometimes also used on vias very near, or in, pads of SMT components for the same reason.
You should use thermal reliefs on each pin that is connected to a plane, either TH or SMT, and that regardless of the layer. You can omit the thermal reliefs when the plane is quite small, but be careful because the pin may be hardly solderable if the plane is too large.
Thermal reliefs can be safely omitted for vias that stitches ground planes together. Thermal relief setting menu for a ground plane generation part of a layout editor can often differ between less expenseive CAD software and the big one's. The more complex programs offers a rich variety of options for vias, thru hole components and SMD's. Also the width, angle and number of traces can be varied. If the hole is a via to a power plane, the heat relief tracks can be safely omitted. If the hole belongs to a hole mounted component, the heat relief tracks are a MUST. The mounting of SMD's rely heavily on heat relief tracks, since it is important that the two pads of eg. a 0402 sized component must be heated equally in time or else tomb-stoning may occur. For RF and especially high power RF the situation is a bit more difficult, since every mm of trace means some 1nH in series inductance, which often can not be allowed. In such cases, the CAD designer must sometimes cover specific connections with static copper in order to "override" the heat relief tracks generated by the CAD program.
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