Yes if you submit the tax return you must also submit any associated W2s and 1099s from that same year.
A tax RETURN can be filled in but not submitted, so they are just double checking your income since you could theoretically fake a tax return. A tax TRANSCRIPT is a receipt from the IRS which means that the tax return was submitted [online] and does not require additional W2s/1099s to prove income, since you officially submitted it to the IRS.
I am assuming someone in the past must have actually faked a tax return for them to institute requiring W2s and 1099s in addition to the tax return document.