Yes, they still require heat sinks - especially BR1.
This style has a lower thermal resistance from 'junction to case' than the GBPC style but still requires a 'case to ambient' heat sink.

Common part number is GBJ3504
https://www.greatplainselectronics.com/proddetail.asp?prod=GBJ3502

I have recently been searching for a decent heat sink for use with this style for use in the upright position.

LEDs will drop BR1 current by a bunch but do you really want to use the bridge rectifier as a fusible link?
BR1 and his accompanying heat sink must be capable of handling whatever is installed at fuse F1 which is normally 10A.

Even BR3 runs quite hot in many machines during games - BR3 should also have a heat sink (even though many people don't).
When I get time to sell rectifier boards, I put bridges on all three.

These GBJ bridges have a 'typical' junction to ambient thermal resistance of 22 C/W
They don't list the maximum thermal resistance which is what you should always design to.

Each diode has a forward voltage drop of 1.05 volts. Full wave operation so there are always two diodes operating at any one time.

Using the typical thermal value and you operate at 10 amps (fuse rating):
power dissipated = 2 diodes x 1.05 volts x 10 amps = 21 watts
operating temperature = Ambient + (power x thermal resistance)
Assuming ambient temperature = 35C
Temp = 25 + (21 x 22) = 487C! That's 908F!

For curiosity sake, if you run a GBJ35 at maximum current of 35/2 or 17.5 amps - these will theoretically get up to 833C. Liquidated.

If you reduce current load down to 2 amps
power dissipated = 2 x 1.05 x 2 = 4.2 watts
temp = 25 + (4.2 x 22) = 117C or 242F

Even with a 2 amp load - this bridge would burn up.

With a real low LED current load -
If 'somebody' in the future replaces just five LED lamps with #44 regular lamps, the bridge will burn up over a period of time.