The sign looks like CYA to me. It's an unauthorized crosswalk which didn't go through the proper channels, so if someone were to use it and get hurt, the studio and production company could be liable if they didn't have a sign prohibiting its use.
Of course the larger question and the one posed by the post title is why can't they use a real crosswalk? My guess is that they're wanting to film in front of something that is there and they want one or more of them to cross the street, but I don't know.
Use it anyway & just say you're jaywalking. If the police come, point out the crosswalk.
im in NY... I know the drill. if you do use the crosswalk a college aged person with a walkie talkie will be forced to roll their eyes at you!