This is typical of a state law defining the practice of engineering....this one happens to be from New Jersey, but is similar to many others. In general, yes you must be licensed to design HVAC systems for commercial buildings.
"'Engineering," "professional engineering" or "practice of engineering" means any service or creative work the adequate performance of which requires engineering education, training and experience and the application of special knowledge of the mathematical, physical and engineering sciences to such services or creative work as consultation, investigation,evaluation, planning and design of engineering works and systems, planning the use of land and water, engineering studies and the administration of construction for the purpose of determining compliance with drawings and specifications, any of which embraces such services or work, either public or private, in connection with any engineering project including: [highlight]utilities, structures, buildings, machines, equipment, processes, work systems, projects, telecommunications, or equipment of a mechanical, electrical, hydraulic, pneumatic or thermal nature[/highlight], insofar as they involve safeguarding life, health or property, and including such other professional services as may be necessary to the planning, progress and completion of any engineering services. The practice of professional engineering does not include the work ordinarily performed by persons who operate or maintain machinery or equipment.