I suspect, although I am prepared to be proven wrong, that this is a "precaution too far".
Whilst you may indeed get minor pieces of metallic debris in the
oil during break-in, it will have gone through the
oil pump before it gets to the cooler (assuming cooler is "seeing" unfiltered
oil - depends on the configuration).
This means it would be minced pretty fine in any case, so unlikely to get "hung up" in, or block, the cooler.
If you have any metallic particles large enough to cause problems after the filter, then you are in a world of hurt anyway, junk oil cooler the least of your problems.
I would, personally, think twice before introducing an additional restriction to flow, in the shape of a screen or filter before the oil cooler.
I would just change oil and filter regularly during break in.
Of course, race practice, where engine blowups ae more "accepted" or "expected", is different.
Just MHO.