No that TAG must be on the pillow at the time the consumer buys it. Once it is purchased, the owner can remove the tag. That is what I have heard. That is my understanding; if I am wrong, please advise.
I was at Yahoo Answers, and this is what they say about tag removals from mattresses, pillows, etc:
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The warning is not meant for consumers, but for merchants and manufacturers.
Back in the old days when business people were not as high-principled and as scrupulously honest as they are today, some manufacturers were not too picky about the materials they used to stuff mattresses and the like. So you might have ended up sleeping on vermin or stuff that could make you sick or a dead cow or something. Well, probably not a dead cow.
Anyway, the government stepped in and required them to put a tag on the product listing its contents, and it carried the warning “Do Not Remove Under Penalty of Law.” That never applied to you, just to the manufacturers and dealers, but lots of people didn’t understand that.
Nowadays the tag says, “This tag may not be removed except by the consumer.”