There is a warning. But obviously it needs to be stronger. eg: the files you are about to delete will be erased directly from your computer & will be unrecoverable except maybe by 3rd party utilities. OR these files you're about to erase belong to your shared library. Are you sure... etc.

Something of that nature.

(Well I rarely use the Delete button, & in osx I waited several mins for the option box to disappear (Java issue I guess) but that can sometimes happen with preferences dialog warning options also.)