Hmm. I didn't do that as part of my break-in, and I'm not sure what break-in purpose driving with the parking brake engaged would perform. I know that normal brake shoes go through a break-in/setting process from normal use, but this is the parking brake we're talking about, so I wouldn't think that would be necessary.
Regardless, I still don't understand the concern over this clunking sound. Other than the documented break-in procedure, and the bulleted items in my post above, I can't think of any other reason to apply the parking brake while in motion. If you don't like the clunk, then don't use the parking brake while you're rolling!