Adafruit Feather 32u4 FONA KEY Pin
Yes, you will need to physically cut the trace to use the on/off feature. This is common on development boards. It could be done with a jumper but that would add cost and/or require a larger board.

You will see on the back of the board there are 2 large pads connected by a thin trace. You can use an exacto knife to cut the trace. To repair the cut you use a blob of solder to bridge the gap between the pads.