As others have noted, within Sigil, even if you make the changes your client suggests, Sigil will remove the extra linefeeds when you save the file and you'll be back where you started. I don't know how to turn off this behavior.
The hard way to get around this would be, after you are completely done with everything, outside of Sigil, unzip the epub and use some other text editor to make the suggested changes. Save and re-zip. Don't load into Sigil again.
But as kludge, you could avoid the occurrence of <p>“ by doing a global find & replace as follows (within Sigil):
find: <p>“
replace: <p><span>“</span>
or something to that effect.