WOW, i cannot believe just how this issue is being handled here. I believe Android is an Java-based open-source OS, so if anything happens, it only takes SOMEBODY to write up a code to fix it, especially when these Java related vulnerability is pervasive. I'm serious, out of millions of Android smartphone users, NOBODY has this issue? Ever? It doesn't matter where the phone is sold, (US, UK, Australia and what not) this kind of issue would be solved in a day or week in a PC arena. Unbelievable community support, let me just say that.
Back to the issue, in detail, it happens when you plug in "headset", "headphone", "earphone" or whatever you wanna call it to the phone. Very quietly, (or just silently), the OS sets or decrease the MEDIA volume to a "safe" level (around 9/15). And if you mess with it, such as opening Play Music app and cranking up the volume, the Sammy Nanny will nag you to turn it down EVERY TIME you get on her nerves. This includes repetitively going from 15/15 to 0/15 (full vol to silent), plugging in and out that headset, etc. And i don't give a damn about WHY they implemented this stupid feature, so don't ask me about that.
I can testify that i have US Galaxy S4 (SGH-M919), Android 4.2.2 (ROOTED) and it does display the parannoying message, but it does not force me to choose between OK or Cancel to keep increasing the volume.
Here's the SUGGESTED solution. I'm saying this because i couldn't find any source code to flash for you, which will directly remove or disable this kind of parannoying feature. Goto Play Store, and look for apps about "volume control", "volume equalizer", or "headset volume control". I personally recommend "Volume Control +" (yes, the plus sign is part of the name). You can play with it yourself or read more to get in details.
VC+ controls volumes for the phone: Ring, Notifi, Media, Voice Call, System. What's good about this app is that you can lock the volumes. What this means is, for example, you set the Ring vol to max, and after that, if you press volume keys, the volume will be set back to max. You can also set up a separate profile for headset/bluetooth connection.
So, to tackle the issue, you can lock the Media vol only, but this might give you profanity-rampage since you cannot "change" volume. (You have to pause the song or video to really silence it) In other method, you can set the headset/bluetooth profile, and the volume will be set to the profile's level every time you plug in the headset. This way, you can quiet it down for any reason, plug off the headset for any reason, and when you plug it back on, VOILA! the vol will be reset to the profile's level. The downside is that every time you plug-off the headset, Media volume will be restored to 9/15, regardless of whether you locked the Media vol prior to plug in the headset.
Again, this is not a perfect solution, but at least a functional way to tackle this parannoying nanny-y feature.
UPDATE: VC+ has gone dark for about 2 years now...:-\
UPDATE: "Volume Booster" by lovekara can fix the issue. If you plug in the headset, app will automatically change to headset profile.