Something similar applies to warning stickers on bikes - the dealer CANNOT remove them for legal reasons but, you, the owner/consumer/buyer can do whatever the hell you want to.. It is a common misconception of people in regards to matress tags because they do not read and understand what it says other than "DO NOT REMOVE" and leave it at that..
Cut off your mattress tag already! Don't worry, you won't get locked up. As a consumer, it's perfectly legal to remove the tag from your own mattress. So why is it there? Well, the answer is somewhat involved.
Back in the 1900s, mattresses often contained a host of vermin and disease-carrying materials. To protect consumers, the government required dealers to post tags on their mattresses listing the contents. Later, the Feds added a warning to the content tag with the ominous message, "Do not remove under penalty of law," in big, black letters.
The move may have deterred duplicitous mattress dealers, but it only served to confuse consumers who didn't know that the threat wasn't meant for them. Confronted by fear of prosecution, consumers left the tags on their mattresses. Recently, the Feds addressed the misunderstanding by changing the label to: "This tag may not be removed except by the consumer."
Since then, the Feds have long abandoned the pursuit of tag-tearing merchants, though states like Texas still inspect mattresses for tags in stores. They're probably making sure their laws aren't full of fluff.