When I flip the unlock switch, or power key and swipe finger to unlock, I get the question about the unlock code. So far everything is ok. but if I click outside the numpad on the "insert code" view I get the question: do you want to turn off the device?
I find this very annoying because I sometimes flip the unlock switch by mistake and therefore I sometimes accidently shut the device off.

Is it possible to remove this question?

Nope. You could suggest it in a Brainstorm.

Please read Brainstorm Intro first (if you haven't already) before submitting a brainstorm.