Well, as wmf said, sandboxing is key. All NativeClient apps are compiled specially and scanned before they are run to ensure that apps can't use just any system call - they must interact only through NaCl's posix like library and the plugin api.
[edit] Just realized I didn't respond to the meat of your post. Theoretically, there is no reason why any warning would be necessary for running a NaCl plugin because the sandboxing would be secure.
Their homepage has a paper and video describing this in detail: http://code.google.com/p/nativeclient/
[edit] Just realized I didn't respond to the meat of your post. Theoretically, there is no reason why any warning would be necessary for running a NaCl plugin because the sandboxing would be secure.