A little over HALF of states it is illegal to drive with 'hazard lights ON' 
Rules in Your State
Driving with Active Hazards Lights Prohibited
    Alaska
    Arizona (except in an emergency)
    California (except to indicate a traffic hazard)
    Colorado (except if the vehicle speed is 25 mph or less)
    Delaware (except to indicate a traffic hazard)
    Florida
    Hawaii
    Idaho (except to indicate a traffic hazard)
    Illinois
    Indiana (except in an emergency)
    Iowa (except to indicate a traffic hazard)
    Kansas
    Louisiana
    Maine (except to indicate a traffic hazard)
    Maryland (except in an emergency)
    Massachusetts
    Minnesota (except to indicate a traffic hazard)
    Montana (except to indicate a traffic hazard)
    Nevada
    New Mexico
    Ohio (except when a hazardous condition is present)
    Oklahoma (except in emergency situations and to indicate a traffic hazard)
    Rhode Island
    South Carolina (except to indicate a traffic hazard)
    Tennessee (except in emergency situations)
    Virginia (except to indicate a traffic hazard or when traveling slower than 30 mph)
    Washington (except to indicate a traffic hazard)
    West Virginia (except in emergency situations)
    Wisconsin (except to indicate a traffic hazard or when a hazardous condition is present)
Driving with Active Hazards Lights Allowed,
    Alabama (unless otherwise posted)
    Connecticut (unless otherwise posted)
    District of Columbia
    Georgia
    Kentucky
    Michigan
    Mississippi
    Missouri
    Nebraska
    New Hampshire
    New Jersey
    New York (unless otherwise posted)
    North Carolina (unless otherwise posted)
    North Dakota (unless otherwise posted)
    Oregon (unless otherwise posted)
    Pennsylvania
    South Dakota
    Texas
    Utah
    Vermont
    Wyoming
So maybe that sign is necessary after all