I've just started on a pump and I wasn't asked about this. It sounds like that particular doctor is involved in the running of this study and has asked the nurses to direct suitable subjects to him.
I'm pretty sure there are no known issues with bone density and pumps. If anything, they are probably expecting to see an improvement on the pump.
You can always decline to talk about it, or you can contact the doctor to find out more, thenstill decline to take part.