The big benefit would be that the user will immediatly see the warning (because it will be under the avatar, right?). In that way, he/she can't say: "I missed that post were the mod warned me" or "I don't read my PM's regulary"...
And about abuse: it can be as much/less abused as the current ban-system of course.
It's the mods that issue warnings, so if they are corrupt, then yes, it can be abused. But the point in being a mod is that you don't abuse the power you have, so no, it wont be abused...
PS: I'm not saying it
should be added, I'm only replying to some posts
/ 
