Yes and NO. You may or may not need to mention about the NFR's in the assumption doc. Whether you detail in length or just highlight it, it depends on how crucial you consider them to be in the whole architecture.
The part 3 of the exam will
test some NFR knowledge so its well worth planning and documenting it within the assumption section.
load balancing holds a critical place in overall
J2EE architecture design and is hence recommended as well.