E.A.
I'm planning a visit to the same place in 2 weeks. I'll be checking back to see if you had feedback from anyone else.
I've been to Sona Med Spa for laser treatments (they're under a different name now, but they were really good) and they did tell me to shave the area to be treated.
I understood that the laser targets the dark pigment of the hair and I guess burns it, following the dark pigment all the way to its root. If you don't shave the hair down to skin-level and it is lying against your skin, you may get some contact burn on your outer skin (not just inside the follicle shaft) when the laser hits its target.
I'm not an expert, but that's pretty much what my sister and some of my co-workers were also told when they had laser hair removal.