When I click on Rename for a class the rename dialog opens and lists the places that the classes name was referred. Generally my files have the same names as the class name so in this screen I can see my class's file referred to as #include "ClassName.h" but this is unchecked by default and clicking on "Comments and Strings" button doesn't check these include directives so I have to check them one by one manually. If these could be checked by default or maybe adding a new button like "Comments and Strings" maybe like "Compiler Directives" could be very helpful.
VA does not rename files, so renaming #include statements is considered a "bad" thing since it will stop your code compiling.
This is why they are not picked up by the comments and strings check box. The strings part of that is designed to pick up literal strings in your code. #include statements are considered to be different.
You can still check the boxes manually. Also ticking and unticking the parent (file) note ticks and unticks all children, including #include statements.