Like, imagine hitting stop render or the X on a render and it just warns you it's going to close the render, and all you can do is be like "Noooo!" And hit OK and watch that happen lol
Or another context, you forget about automatic changes you were warned about but didn't necessarily need, forget about them, and experience project issues. A lot of people don't commit to memory when just being told something they need to learn, they need to do it, so may forget. Being able to simply cancel out of the unknown is beneficial.
In general warnings are usually about something you did, not something it's going to do. That's a prompt situation; ok/cancel.