That's an intertesting comment from your broker Borelly. Although true you definitely require a margin account to short or buy on margin, I have NEVER ever heard the only shares that can be shorted must be "held" in a margin account. 

Also, as set by Regulators and to some extent depending on each brokers requirements, many stocks can't even be bought on margin under $3.00. So it's pointless to even hold a penny stock like EFL in a margin account in the first place as it spends most of its time trading well under the $3 limit.

If anyone can find literature to support his claim, I would definitely appreciate the education.