This statement confuses Scout for a couple of different reasons. Foremost, Atticus has been raising Scout to become a free-spirited and independent young lady, encouraging her curiosity and her love of learning. By demanding compliance with adult authority, Atticus is seemingly refuting his lessons in thinking for oneself and similar notions.
Secondly, Scout is a very perceptive young lady, and she realizes there is some degree of friction between Atticus and Aunt Alexandra -- while Atticus believes that children should be allowed to explore their own nature and play, Aunt Alexandra believes they should be seen but not heard. She is especially fond of manners and courtly behavior, and Scout, in Alexandra's opinion, has gone without both. When Atticus tells Scout to obey these authority figures, it conflicts with the previous perceptions that Scout has established.