What is the meaning of the "Do not turn off" label on the switch in Jimmy's office?

It wasn't shown what (if anything) the switch controls in the office building. I think the symbolism of the switch is more important to the story. The sign on the switch says that it must always stay on. It's even taped over the switch, so it's impossible to flip the switch without noticing the sign.

But Jimmy can't resist. He doesn't play by other people's rules, so he removes the sign and flips the switch to see what will happen. This gives you a sense of Jimmy's state of mind as he starts this new chapter (the job at his new law firm) and provides an interesting contrast to his reaction to another sign in the episode.

Remember that the black & white flashforward scene at the beginning of the episode has Jimmy/Saul/Gene trap himself in a trash room. When the door latches behind him, he sits and waits for a janitor to come and let him out, instead of just opening the door because a sign tells him that an alarm will sound and the police will be dispatched. He doesn't want that to happen, so he obeys the sign. This tells you that Jimmy has gone through a transformation. Better Call Saul is the story of how he becomes Saul Goodman, the character in Breaking Bad. The events of Breaking Bad transform him again, into Gene, a manager of a Cinnabon in Omaha who plays by the rules, even though he doesn't like it.