I was reading an article by Gary A. Galo, written for the ACRS journal.
(He also has a web article, google him) in which he demonstrates that applying digital EQ
curves that are based on FIR filters yields inaccurate results. I am not an audio engineer but the
gist of it seems to be that digital EQ curves based on FIR filters do not accurately reproduce the
phase shifts that an analogue filter would produce and hence do not mimic what was originally intended
when the curves were defined.
He shows examples where the EQ curves are based on IIR filters (tracertek’s DC7 plug in) yielding
much better results than those based on FIR.
Audacity I think uses FIR.

Any plans to have IIR based EQ curves added to Audacity?

Failing that are there any tutorials describing how to build your own RIAA curve (and inverse) from the
features that Nyquist already has?

When RIAA curves were invented, FIR filters were not an option. IIR filters were used because that was the best that was available. Phase shift within the filter was not a design decision but an unavoidable consequence of using IIR filters.

If phase shift really is important, then clamp your head in vice when listening to your music otherwise you’ll ruin the experience. The wavelength of audible sound ranges from 17 m to 17 mm. That means that if your head moves by 8.5 mm then the phase of the highest audio frequencies are shifted by 180 degrees, while the phase shift for the lowest frequencies is only 0.18 degrees.

No official plans that I’m aware of.

Nyquist has a fixed-parameter biquad filter: Nyquist Functions
and a Matlab compatible version: Nyquist Functions
I imagine that if you can find the necessary coefficients then it may be possible to create an RIAA curve using those, however I expect it will be difficult to match the RIAA standard(s) as closely as the ones already available in the Equalization effect. Frequency response definitely IS important and audible.