Check the instructions of the 1040NREZ for any clarification of the above. Yes, with the 1040NR or 1040NREZ you are required to file form 8843. Mail them to the Internal Revenue Service Center, Philadelphia, PA 19255. Under the current IRS requirement, all nonresident F and Js, including dependents, must file form 8843, even if they have no U.S. source income. You are required to report your income on the appropriate forms.
Treaties are very specific as to what situations they cover.
Treaty benefits do not apply to all individuals from a given country. You should first consult IRS Publication 901, which is a summary of tax treaties. Be sure to look at the section that pertains to students or your appropriate working classification. The treaty article may protect a portion of your income from tax or it may exempt all of it. Refer to the treaty for the specifics.