Probably the pressure comes from your pump through your valve and then on to your three-point. When you disconnect the loader and disconnect the hose going from the pump to the loader valve, you have effectively plugged that hose as the quick connect has a valve in it that closes when apart from it's mate. Now if you start the tractor, it takes about a nano second for the pressure to build up in the short hose and it either breaks the hose (unlikely) or breaks the pump (likely). Pumps like these do not have a pressure relief, that is further on in the system.
Your dealer was wise in explaining this to you and he is surely correct. You also wonder why it would work before the loader was installed. It worked because the line from the pump was not interupted by a closed valve (when a hose is diconnected at a QC) and just went on to the three-point. The loader valve isn't the issue, it's the QC's. Now on most factory loader installations, pressure is taken from a location downstream from a pressure relief, so this catastrophic pump failure can't happen.
Your installation is typical of an aftermarket install and is just fine.