That's the labels set up that does that. Not direct checkout.
You're not missing anything, it is how it is set up. It is considered a convenience in most cases, eliminating an extra step.
If I haven't dropped it yet and use an Etsy label I just put that in the notification. "I will drop this off at my post office today, online tracking usually updates within 24 hours." Something like that.
The labels team is here:
http://www.etsy.com/teams/13659/shipping-labels-improvements