I live in East Mesa Arizona and I just had a landscaping company or I should say a nursery plant 15 gallon purple leaf Plum Tree baby in my yard. They advised me to build a makeshift canopy so as the sun does not go directly on the plant is that something that's normal? I have never ever heard that before and I've been in the valley for 25 years

I'm kind of surprised that the landscaper/nursery person did not provide a shade cover as part of the planting service.
Trees (and other plants) need to be protected from severe sun exposure as they will suffer transplant shock. Ideally, plants should be set in the ground under ideal conditions, like a nice, cool, cloudy week or two to give them time to recover.

There are products...antitranspirants (some call them antidessicants) which can be applied to the leaves to help the tree to not lose all it's moisture through the leaves but I think the temporary shade is a better idea.

Given the intensity of your sun shine I'm not surprised at the suggestion to give your little tree the best start possible. Maybe you can find a pretty shade sail set up to block the harshest sun, most of your day, I imagine? They come in colors and would look beautiful even if temporary. Keep us up to date on your litte tree. They are one of my very favorite tree.