RB:
Some boats do have screens built in or added to the thruster tubes to prevent debris from getting into the prop and causing the shear pin to snap. Screens would make for more holes in your boat, potential for water penetration and then they'd need to be removed when you needed to replace zincs, clean barnacles and or bottom paint. Personally I'd rather not have screens for these reasons. You could go one day or 5 years without having a shear pin break, its all a matter of luck or no luck while you're boating. As an example I'd never had to replace a shear pin in a thruster for 4 full years on our R27 and 4 years on our prior boat.....then one day earlier this month I sucked up a mooring ball line into the bow thruster and instantly broke the shear pin. It's good that they break because if they did not then it would be the prop or mechanics of the unit that might and that would be more expensive to repair.
Jim