@JonasResende, yes the Traffic Shaping rules do apply to local internet breakout (I have set this up in my lab and seen the DSCP bits be set based on applied Traffic Shaping rules - both for SD-WAN traffic and internet breakout).
What that document refers to is traffic in a VPN tunnel to a third party peer (e.g. non-Meraki firewall) not having shaping rules applied. Traffic in a Meraki AutoVPN will be shaped as will internet breakout traffic.
I expect the reason internet breakout is not mentioned is that the document is about SD-WAN, which implies AutoVPN traffic, although it would be 'nice' if it was a little clearer.