I'd probably even mention it if the danger is obvious, like someone inexperienced trying to execute code like this in CGI context or some such, but otherwise... should we always warn?

Well, you don't know in what context someone will read your write-up in the future. Even in the given context, I am by no means sure if the original author is aware of the possible risk. She or he accepted the advice rather light-heartedly. I think we should always warn.

Anno