I believe that it is an error to _both_ not transfer the neutral and bond the neutral to ground at the generator.
If you do not transfer the neutral, then the neutral of the generator is connected to ground via the main bonding jumper of the primary system. Thus even though there is no bond at the generator itself, you would not leave an inadvertent ungrounded system.
If you bond at the generator and don't transfer switch the neutral, then you have a situation where the _unbroken_ neutral is bonded to ground at two points, which creates a parallel path. The fact that there are no neutral loads served does not change the existence of this parallel path.
However lack of neutral loads means that no current would be injected into this parallel path, so I suspect that having this particular parallel path is not a significant safety issue.