Forgive the stupid obvious question...
But why does this bother you so bad?
Personally I have a Samsung Note 5, and I too notice that when turn up the volume while my phone is connected to an external speaker, I get the Volume Warning message also. And at least with me, while it is somewhat annoying, it doesn't actually limit me from turning the volume all the way up, so it is just a minor annoyance.
I am honestly asking because since I will be switching to a new Samsung S10+ soon, I was wondering if the Volume Warning messages, on more recent versions of Samsung devices, has gotten to the point where it actually interfes with the usage of an external speaker
Please enlighten me either way