Since when??
I've never heard of this either and I sold guns for over 6 years. Even if it were true, I send the state my SSN every year when I file my Indiana state taxes, so what! The only issue I have with guarding my SSN is to prevent identity theft. If you trust your dealer and his employees to safeguard your information, then there should not be an issue. I've been in the military and had a top-secret clearance. I later worked for the government. All my neighbors, friends I grew up with and the others I worked with said that they always knew I had gotten a new job or security clearance, when the federal agents came knocking at their doors asking about me. The government knows more about me than I can remember. With all this, I never got an unexpected knock on the door from a federal agent. All this being said, do what makes you feel good! It is your information and your life.