This scene is a clear example as to the reason for this guideline. Because with stripping (as with improv) it's all about building. To remove a mimed shoe and then a mimed blouse is heightening. To remove a real shoe but then a mimed blouse is the opposite. So unless you're prepared to remove more items of clothing on stage (which most of the time is not going to be a good idea) starting with a real shoe is going to lead to audience disappointment. Whereas removing a mimed shoe would mean the audience will enjoy the heightening of removing a mimed top and so the actor can "strip" in confidence.
|Jochem prays for Anna to remove a shoe|
Another old improv tenet that comes into play here is that it's better for your character be the best at anything they say they can do. This means do it with confidence. Ironically, it is especially true with something awkwardly sexual like stripping. Watching a character relish being the top of her game is great, watching an actor squirm is uncomfortable.
It's also true in real life. If you've ever found yourself in a strip club, you might know that it's tolerable when the girls seem to be in charge and enjoying it. But if you've ever seen a stripper who clearly doesn't want to be there, it's horrible. And they don't have the luxury of being able to mime.