I think a warning is a good idea. Maybe don't phrase it as a "warning" per se, but I think the way they've handled the branching paths in Four Elements Trainer is a good way to approach it. In FET, when you are at a point in the story where you can choose either the Slave or Love routes via dialogue, after selecting your choice it prompts you with a confirmation message. Example:
In the beginning of Book 1 of Four Elements Trainer, you meet Katara (the girl you will end up training). At one point early on she says "It would really mean a lot if you would hunt for us..." and the next dialogue is the PC's internal monologue of "This feels like a defining moment." Here you are given two dialogue options: "For a favor..." and "For you, anything."
If you select "For a favor..." the next message on the screen prompts you with "You have chosen the slave route. Continue on slave route?" with "Continue" and "Back" as your choices.
If you select "For you, anything." the next message is "You have chosen the love route. Continue on love route?" with the same "Continue" and "Back" choices.
I like this approach, because with this one very brief scene it tells the player a lot of information.
1. This is a good place to save your game.
2. This game has branching paths.
3. Requiring a player to confirm their choice means that this choice is likely irreversible, and thus again point 1 is reinforced -- save your game here.
4. This game is worth replaying multiple times to see all of the content.
It also gives the player an opportunity to decide what kind of PC they want to be and how they want the characters to react to them. More player character development = more immersion.
Including something like this for Witch Trainer Silver might be a good idea too, especially if multiple characters are going to get branching routes. Just my opinion though. Love the direction you guys are taking with this. Keep up the awesome work!