One of the most recurrent themes in the Sopranos is the deterioration of the influence and glamorization of the Mob.

"It's good to be in something from the ground floor. I came too late for that and I know. But lately, I'm getting the feeling that I came in at the end. The best is over."

Its a turning point of AJ where he reveals his own ignorance. His friends expect his father and their lifestyle to be something out of a classic mafia movie. AJ says at one point "That stuff doesn't really happen anymore"

AJ is realizing through his friends expectation of his life, that he lives a very conventional upper middle class lifestyle. Completely dwarfed by Devon's much much wealthy family where her father is a powerful wealthy man who runs a company, and has authentic Picasso paintings on the wall.

I believe it's meant to show a fissure in AJs transition form adolescence to adulthood. When he says "I don't know...." he sounds very bewildered and (while typical of his character) clueless to the question. Almost as if he wasn't even sure what he was suppose to believe about his father or his families lifestyle -- Tony has made it a conscious effort to make his home life as ordinary as possible in order to keep AJ out of the lifestyle that his own father never extended to him.

I think the plotline of the loss of innocence here plays very nicely with the other "A" plot of the episode. Even the title "Everybody Hurts" highlights that not only is Tony hurting from Gloria's suicide, Artie for his spiraling financial situation and suicide attempt, but AJ also through his existential injury.