Haven't seen that before, but it may be something new.
Are you sure they're making you turn it off now? I assume you're doing a trade-in. It may just be a warning to make sure you know how to turn it off.
Otherwise, turn it off, complete your order, and turn it back on if you want. Just remember to turn it off again before you send it back to them, or you'll have issues with the trade-in.