Every venue has different rules for its DJ's. Some want the DJ's to keep the volume to a reasonable level, no matter what they want to crank it up to. Others, like the Sullivan Room, want to make sure their hired talent has free reign to put on a great show by making sure the customers don't treat the DJ booth like a coat check. Hence this gentle but firm sign.
Have you seen a great sign near a DJ booth? If so, snap a picture and send it in!