I wouldn't worry about that, matter of fact, I don't even know why it says that.
After thinking abut it, I'm guessing this is the reason if you care to follow along:
1.) Joe Schmuck, a Best Buy employee removes an Applecare box from the rack at the store he works.
2.) He opens the box, writes down the registration code then reseals the box with the store's shrink wrap gizmo. He returns the box to the rack.
3.) Joe then sells you this code in a back alley for a 'too good to be true" price and you register your apple product. The registration goes through without a hitch and you're covered. You even get a pretty certificate.
4.) A couple of month's later, I walk into Best Buy and purchase the same applecare box that Joe had stolen the code from and sold to you.
5.) I register my macbook with the same code. WTF? It doesn't work and Apple's database shows it's already been used.
6.) I show my Best Buy receipt and original box with the little card inside showing the code. That clears things up and I'm covered.
7.) Since you can't provide a receipt or the applecare box like I did you're screwed and you get an email from Apple stating your coverage is revoked.
8.) You try to find Joe who sold you the code to get your money back only to find he's long gone.
The above is a simplistic example but illustrates why people shouldn't buy Applecare codes without the box IMO. Who really knows where they come from?