DFrpg, and FATE upon which it is based, are narrative systems. The story takes precedence, informed by the dice, not dictated by them.
Speaking of stories, let me tell you one about Mary Sue. She's a great person - everyone loves her. Even the bad guys respect and like her. And talented? Why if she was on the Iron Chief show and the secret ingredient was scorpion she would flash back to that summer she spent with her uncle in the desert and before you know it she'd have a perfect meal prepared. If there's danger then she'll save the day. If she's in a contest then she'll win - or win the real prize by losing the meaningless contest.
In short, she's a perfect character - so perfect that there can be no real drama built around her. She's been in countless stories under countless names - most of them fanfic - and none of them are worth reading.
For there to be drama there has to be conflict. For the conflict to be worthwhile the stakes have to be high. Without that conflict, with that drama, then there's no real story.
When Harry Dresden goes into a fight you know that people can get hurt and maybe die. Over the series some reoccurring characters have been hurt, crippled, or killed. Sometimes the innocent victim can't be saved. Sometimes bystanders get hurt.
If you're playing a game where you know that your character will not be crippled or killed - then where's the stakes? I'm not saying it needs Call of Cthulhu levels of PC death, but if you know that your PC will never die then where's the drama?
Which is why I think that warnings are a good idea. If a player knows that the action is dangerous and still wants to do it then why rob them of that danger?
Richard