Yes, all high pressure cylinders (that are transported within the United States and/or Canada) must be equiped with a safety/pressure relief device. According to Title 49 CFR 173.301 Code of Federal Regulations (D.O.T.)

"...(f) Pressure relief device systems. (1) Except as provided in paragraphs (f)(5), (f)(6), and (l)(2) of this section, a cylinder filled with a gas and offered for transportation must be equipped with one or more pressure relief devices sized and selected as to type, location, and quantity, and tested in accordance with CGA S-1.1 (compliance with paragraph 9.1.1.1 is not required) and CGA S-7. The pressure relief device must be capable of preventing rupture of the normally filled cylinder when subjected to a fire test conducted in accordance with CGA C-14 (IBR, see § 171.7 of this subchapter), or, in the case of an acetylene cylinder, CGA C-12 (IBR, see § 171.7 of this subchapter)."

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