Actually the answer is "NONE OF THE ABOVE". The answer (deemed correct) refers to IDENTITY INSERT set to ON. This query will run if IDENTITY INSERT is set to on. However, it is off. The actual error message refers to IDENTITY INSERT SET TO OFF. Minor verbiage change, but can make a big difference (several previous questions had details like this that made the difference between right and wrong so consistency should be maintained).
CORRECTION: I just now saw the "not". The error message actually says "hen IDENTITY_INSERT is set to OFF" The "not" through me off.