I will take a shot at answering the "Why" question
Why does that page appear. I believe the short answer is that popup is a way to deal with different browsers and different servers that are possible on a Moodle site. Sometimes a site needs to have a manual click as a Plan B to cover more obscure combinations of servers and browsers.
Are you saying the warning popup does not go away once the link is made? I don't think that happens with any of my local hosts or production sites, but I have been know to be blind at times. Did you try to duplicate it on demo.moodle.org (a handy different server) ? Or perhaps try using different browsers (IE 6, IE 7, Firefox 2, Firefox 3 or others). That might help with the troubleshooting process.
Best Chris