While BATF does require the CLEO sign off, it should be noted that it is NOT CLEO permission to buy or own the gun. The statement does not say that the CLEO approves the sale, it only states that the CLEO certifies that no law in that jurisdiction prohibits the prospective purchaser from owning the gun.
The whole thing is to cover BATF's fanny. They are afraid that without that signature, they might approve a transfer that is barred by some obscure or very recent local law. This way, if that happens they can point the finger back at the local cop.