"All BIPs should" ... is too rigid, in my humble opinion.
If the person championing the BIP thinks that a link to a discussion thread helps clarify or convince, then they should include a link. But I don't think a hard-and-fast rule is the right thing to do, we'll just waste time arguing over WHICH discussion thread or threads should be linked...
I wrote "should", not "must", although I genuinely think "must" is better.
Every BIP has a champion, right? That champion can decide which thread he wants to link to. I don't think there would be any arguments involved ... the champion/champions of a BIP should just list pick a canonical BIP thread where the official discussion / voting occurs (I admit I'm still not very clear on how exactly BIPs get accepted, asked this now on stack exchange)
The situation I'd like to avoid is BIPs that are accepted, but have no direct evidence of this status in the wiki page, e.g. BIP 21.
In theory, anyone create a page called BIP XXXX, and make it appear as though it's "accepted". I imagine that such forgery will be quickly detected by "people who know it's not a real BIP", but if all accepted BIPs had to have a link to the discussion thread, this verification of BIP authenticity would not be limited only to "people who know it's not a real BIP".
Why shouldn't BIPs, certainly BIPs that are accepted, have some proof of their status?
Aren't BIPs important enough to warrant requiring at least a link to the thread that created them?