I've experienced this myself.
My wife was supposed to get a police certificate from her former country (Indonesia) after she became a German citizen. Germany doesn't accept dual citizenship (except from EU/EWR countries) by naturalisation. Besides, she has been living in Germany for 13 years.
However, the INZ officer didn't accept the fact that she was no longer an Indonesian citizen and insisted that we get a police certificate from the Indonesian police and suggested that we consult an immigration adviser/lawyer. So we tried to apply for an Indonesian police certificate for her, and in the end we received a letter from the Indonesian police confirming that they were unable to issue a police certificate because she was not currently resident in Indonesia. With this letter, the INZ officer finally agreed and proceeded with the application process.