do you think people would ignore the warning and continue to use the site?
Absolutely. My eyes were opened to that when I was troubleshooting my father's webcam over the phone. It kept not working when everything looked like it should. He just failed to let me know about the alert that kept popping up that said "camera is locked by <foo>". Instead, without reading, he just hit the "X", even though I was asking for every step he was performing. Closing a rogue alert isn't even a "step" to most people.
If you are relying on dialogs to keep your users safe, you are doing it wrong. Unfortunately, I don't know what the right answer here is.
I worked in tech support for a few years, this stuff is very common when doing things over the phone. "A box popped up saying X" , "OK click on Y" , "Oh , I just clicked on Z", "why did you click on Z?" , "I always click on Z".
Indeed. Since message boxes and confirmations are used so frequently and often unnecessary users have trained themselves to just click on the far left or far right button to get rid of it. They don't read it, they don't want to understand what happened, it just interrrupted their flow and they want it to be gone. Pushing decisions to the user in form of confirmations won't ever really work probably due to a Pavlovian urge to close such things as fast as possible.