It’s more of a desktop environment thing, as the warning is baked into the widget. I use KDE Plasma on EndeavourOS. My guess is that the warning is a default warning (not a popup message or anything, just a text in the widget). Because the logic would be that someone already has their speaker set to maximum and need more volume from the operating system. And if one is not careful, this can indeed damage the speakers.

I think in my case its safe, because I set the speaker volume down. The warning message appears always when I enable the toggle to raise over 100%.