Hey Robert from UltimateKeyChains,
How's it going'?
From what I can tell, you are supposed to be able to hide the "Add me to the mailing list" from the first page of checkout at the same time that you hide it from your left or right column layout. If you go in the Admin Panel to Site Information > Site Wide Settings > Site Layout and set Hide Mailing List to 'Yes', this is supposed to hide it from the column layouts and from that field in checkout.
However, I notice when I test this that the box is already set to YES, so it looks like you helped me find a new bug.

I am submitting this bug in our tracking system for the developers to fix for your site.
The other possibility is that this is an oversite and that feature was never intended to be switchable. However, it is definitely a good idea and might make it into a later update.
Hope this helps.