Shoutbox

There is no warning in the contactlist for this. The message you'll get is the one which asks you if you also want to delete the contact. There is no "don't ask me again" option for that.

EDIT: Maybe try this one (same old story REG_BINARY, 4 zero bytes, blahblah): DSIMMPBlock
I don't know exactly what this does so...


PS:
All the 'saved per passport' keys in this context:
DSIMBlock (*)
Warning when you block/unblock someone from inside a conversation
DSIMMPBlock (*)
Warning when you block/unblock someone from inside a group conversation
DSIMClose (*)
Warning when you close a group conversation
DSFTWarn (*)
Warning when someone sends you a file
DSPage (*)
Warning when sending a mobile phone/pager message
DSWatchPage
(?)
DSBuddyListSaved (*)
Message after you've exported your contact list
DSBuddyListLoaded (*)
Message after you've imported your contact list
DSSaveAsRtf
Warning when you save a conversation log
DSTabPrivacy (*)
(?)
DSDropOfflineBuddy
(?)
DSRunTestActivity
(?)


All the 'saved in root' keys in this context:
DSBkgndMode
Balloon tooltip message when you close the main contact list window
DSBlockAllOthers
Warning when a contact sends you a message and isn't in your allow list and "Allow everybody" is not ticked

Unknown:
RegTelDontAskAgain
DragDropDontAskAgain

Note: (*) = Can also occur in the root! So, check in HKCU\Software\Microsoft\MSNMessenger itself for these values also.