that won't never happen. Even local Immigration offices in Thai cities and provinces have slightly different rules or procedures for visa-related matters.
The Embassy at Malaysia is notoriously know for that nonsensical requirement. In my case, when I applied for the DTV, I didn't have any previous Thai experience except having spent 10 days in Bangkok as a holiday, so how could I even possible have a lease agreement, especially as I'm from a country that cannot enter on visa exempt to Thailand.
Fortunately my embassy, and most of them, don't have that requirement.
In your case, however, as you've already lodged the application, you must either comply their requirements or prepare to face a possible rejection without refunds.
You can't apply while on Thai soil. If they find out you did (which they might or might not find out) your application would be rejected, without refunds.