It is aggravating but very common for ranges to post against loaded firearms. I hate to say though but it also makes some sense. They do not know every person coming in and I am certain they have no doubts that the sign will have no effect on a criminal. The problem is that at gun shops/ranges/shows guns have a habit of going in and out of their holsters and getting handled. Very few guns will go off in a holster but as soon as they get handled, passed around, etc, things start to go wrong. As a result of this many places where they are handled post.
Personally I carry anyway, concealed. It is not illegal in most states and all they can ask you to do is leave if they find out. The rule of thumb though is I NEVER take it out of the holster unless I am at the firing line or the loadin/unloading area. I went into a shop to ask about a new grip for my model 60 S&W. They had it so I went out to the car to "get my gun." Once there I unloaded and came back in. The thing is that at no point did the weapon appear, loaded, in the shop. Since then the owner has gotten to know me and told me not to worry.
Yes the signs are frustrating but they are there at gun shops and such because of morons who could not follow basic safety rules. It is a policy that has been written in blood. I would not take it personal but if you follow my method you will comply with the true wishes of the owner, not to have a negligent discharge in his shop, while at the same time staying armed.