Yeah, they teach you to do that, and if you don't, normally the cop will tell you to do something like that next time you get pulled over.
I think it's a good system. The cop doesn't know if you have a gun. The chance is probably 1 in 1,000 or less, but still kinda scary.
As a sidenote, America is in many ways more like a 3rd world country than most of Europe. The bad guys will have guns no matter what [1], and it's much safer for us all if the good guys have guns, too.
[1] Well, we could change this in a few decades if we ended the drug war and eradicated endemic poverty. But the government is too busy spying on us and planning to invade Syria, to think about making other changes.