Malware affects everyone
Even the most trustable friend can be infected and you'll never know.
Each warning should serve as a second chance to check the url and see if it's safe, it's better than be sorry after you click something you didn't check before or misclicked it, as in a conversation appearing suddenly and the link appearing right under where you'd click.
Now, "suffer this, including those who are able to protect themselves": these people are the ones that liked the feature, it seems. You aren't able to protect yourself if you call an extra security layer a "pain" and "something uneeded". And who reads those warnings that pop up there in time to prevent something?