Thank you for your post!
I was able to reproduce this behavior with the Import Records Script Step in FileMaker Pro 16.0.2 (Advanced) on both MacOS 10.12 and the Windows Operating System. When "With Dialog" was toggled on, it displayed the Warning. When "With Dialog" was toggled off, it did not. I have sent a report to Testing and Development for further review. I will post back here when I receive a response.