I had to provide evidence to the CAA that I had passed my exams before I could book the examiner for the skill test ... even though they would have had the evidence as it was their exams that I sat.
You can start the training but you won't be able to take the skill test until you've passed all the exams. It's putting a lot of pressure on you to undergo flight training and theory study at the same time.
So your FTO should know better and I would question why they want you to start without having the exams under your belt.