Should I include all radiators?
Many (most) people do not automate every radiator in their multi zone system. The main reasons being cost or that is simply unnecessary.
What happens if you leave a radiator off your multi-zone system?
Any radiator left with traditional manual or TRV valves will still work with a multi-zone system. However, what does change is control.
Because you no longer have a central thermostat the boiler is now triggered by the individual commands from your zones or hot water. Every time the boiler is triggered it will provide heat to your system. Any radiators with traditional or TRV valves left open will heat up. Of course, you can manually turn these off.
Should I leave rooms out from a multi-zone system?
This can make good sense for rooms that you either want heated most of the time (bathrooms) or not heated most of the time (spare room in the attic maybe?).
The most common is a bathroom or utility. In my house I have traditional valves on these. In the morning & evening heat is generally being provided to various radiators and hot water on my multi-zone system so heating the bathroom then matches my lifestyle. During the day and night, the bathroom is not heated unless another zone is.
On hot summer days we can manually turn this radiator off but the reality is we like a warm bathroom even in the summer.
The same can be true for little used rooms. Keeping a traditional valve there may be a choice as you generally have it turned off. The thing to bear in mind is when you do need to use the room, heat will only be provided when the boiler is on.