Enjoyed this post Never Use a Warning When you Mean Undo by Aza Raskin. It makes sense never to warn users if an undo option is possible. The examples given are from the web space. Here's the conclusion:

Warnings cause us to lose our work, to mistrust our computers, and to blame ourselves. A simple but foolproof design methodology solves the problem: "Never use a warning when you mean undo." And when a user is deleting their work, you always mean undo.

However, in enterprise apps you may find that an undo option isn't technically possible or desirable. Objects may be shared, part of a flow elsewhere, or undoing something committed to the database (a rollback I guess) may not be feasible if it becomes locked by another process. Plus, what constitutes user ownership of objects isn't always clear to users. The implications of delete (and other) actions need to be clearly communicated out in advance.

Really, warnings are important in the enterprise space. Data has a very high value, and users can perform a wide variety of actions that may risk that data, not always within the application itself (at browser level, for example). That said, throwing warnings all over the place when an undo option is possible is annoying. Instead, treat warnings with respect. When there is no undo option possible, use warning messages to communicate potentially dangerous or irrecoverable actions or the downstream consequences of user actions on the process or task flow. Force the user to respond to a warning message by using a modal dialog with clearly labeled action buttons. Here's a couple of examples.

A great article that got me thinking. Let's see more like that. Let's not forget there's more types of messages than just error messages. User assistance and user experience professionals need to understand when best to use confirmation, information, and warning types too!