I’ve not seen one of those warnings yet? I found a reference to it here, but I’ve not experienced it myself.
On a forum where I’m simply a user, I’ve @mentioned lots of people in a pm topic between myself and that forum’s admin. I’ve never had a warning before posting though (and the users weren’t notified).
I’ve just had a little test on my forum mentioning a regular user in a pm between admin and mod, and no warning was given prior to posting the @name. The user wasn’t notified either.
Though in both cases the ability to pm is off, so maybe that has an effect?