As far as I'm aware, he still does.
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His W basically gives him 100% bonus total armor AND 50% bonus total magic resist, covering not just AD auto attack damage, but on-hit magic damage as well (looking at you, Irelia and Jax).
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His reflect passive synergizes with his W since it scales off his total armor, and has its damage further boosted while its active.
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Rammus is probably the single best user of Thornmail in the entire game, with his passive and W scaling with Thornmail's armor, and Thornmail's passive scaling with Rammus' own W.
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Rammus also has one of the best armor scalings in the game, and is one of the top 5 Champions with highest armor (109) at level 18.
Literally the only two champions I can think of that can actually brute force a Rammus to death through his W and Thornmail is Master Yi (flat and % AD true damage from his E; on-hit build with Rageblade and Bloodrazor) and Jax (basically meant to 1 v 1 anyone in the late game).
Edit: Just some math for funsies:
Assuming Rammus is level 13 with nothing but Tabi's and Thornmail:
- Rammus would have 83 armor from levels, + 20 from Tabi and + 80 from Thornmail, giving him 183 total armor.
- Rammus using his W would give him 30 + 100% bonus total armor, and thus would have 183 + 30 + 183 = 396 armor while his W was active.
- Rammus' passive would deal 30 + 15% total armor (0.15 * 396 = 59) = 89 damage on its own while W is active.
- Thornmail would deal 25 + 10% bonus armor ( 0.1 * (20 + 80 + 30 + 183) = 31) = 56 damage.
- 56 + 89 = 145 magic damage reflected for every auto attack done during W.