People who speak in double binds like that should be ignored at all costs. Just make sure you have overwheming evidence in your favor if you get fired and have to sue the company....
Typically in a conversation like this, other people say "I'm glad I don't have your job" TO the guy with the paradoxical jobs. I guess Pointy Hair Sociopath--er, Boss has developed his own unique managment approach. That's leadership!