anolan,
I don't believe there is a code reference to that requirement.
It does make sense to have a full pen weld there because it doesn't make sense to have any other type of weld such as a partial pen weld.
The strength of that weld will be similar to any other circ weld or pipe to pipe butt weld, assuming material of the olet equals or exceeds the pipe material, and use of a welding filler metal that also equals or exceeds the pipe material.
I don't understand why your customer would be concerned with that weld, the run pipe weld is much more critical when using an integrally reinforced branch fitting like a weldolet.