W-7 for ITIN

I need ITIN to claim tax treaty benefits (option A in W-7 form), but my application was rejected.

I have an agent (do not trust her, but already paid her), who claims, that only way to get ITIN is that I need to fill option B (filing a US federal tax return). 

My question is - if I check box B (filing a US federal tax return), do I have to file a US federal tax return, or not?

Thanks in advance