Special terminal blocks for PT100?
It totally depends on your accuracy requirements and your error budget. For normal applications, nothing special is required other than normal care for a low-level precision DC amplfier. 

If you have a pathological situation in the environment (lots of temperature gradient), extreme accuracy requirements and/or are operating at a very low excitation then you might want to start thinking about low-thermal-EMF solders and terminal blocks with low Seebeck coefficients relative to copper or whatever material is being used for the interconnections. First calculate how many uV error you can tolerate (input-referred, of course) then you can make quantitative judgements. 

Reasonable thermal EMFs will cancel if they are equal, so symmetry is a goal. For example, it should be obvious that you want to put the terminals with the force on the outside and sense terminals next to each other on the inside (Force/Sense/Sense/Force) and keep the layout around the center two terminals of the block as symmetrical as possible (including heat flow paths). 

Electrical shielding is normally not provided by the terminal block, but by the instrument housing features. In particular, PCB-mount terminal blocks usually have no shielding at all.