That's the law in a lot of countries, including here, but I've been asked it anyway. What are you going to do about it, beyond secretly recording your interviews then suing?
For the sake of your time and your sanity you should do neither of those things. You should file a complaint with the appropriate state labor body, particularly in a US state like CA where the agencies are well funded. The chance of it benefiting you is virtually nil, but the chance of it causing pain for the employer - hopefully forcing them to change their ways - is non-zero.
Outside the US I have no knowledge of at what level those protections may/may not be enforced (but hopefully somewhere).
