That was from the Irish Embassy last year, and they were insistent on it.
We also went to Portugal last year. When we were returning they asked for the Schengen Visa in Portugal. Luckily I had a printout from their Government website stating spouses of EEA nationals who were in possession of PR were allowed to accompany them without restriction - but without that I think I would have been there a lot longer explaining!
Not all European countries recognize the PR sticker for what it is.