Well it is a tricky option in an exam question. In
EJB the system exception are not just "unchecked exception", but includes "RemoteException and its subclasses" (which are checked exception) as well.
If there was a question like "What is true about Exceptions in EJB" and there were following options like
a. application exceptions must be checked exceptions
b. system exceptions are unchecked exceptions.
I would select a and not b, because, system exceptions includes "RemoteException" as well.