I think they do that when they need to verify your identity against your ID. They can't check your ID over phone so they make you go to a bank and do a cash advance at a bank.

I am sure they said to go to a teller and not an ATM machine as teller will be forced to check your ID. Once teller initiates your cash advance, it will be rejected by your CC. Teller will probably have to call in and talk to someone and verify that they checked your ID and the person in possession of the card is the right person.