It's not useful as a warning if it appears every single time somebody presses the delete key. It quickly becomes muscle memory to treat deletion as a two-key operation: press delete with one finger, then press enter with another.

Then you try to delete some labels from a template, and the template disappears! It turns out you missed your click and selected the entire template for deletion instead of just the component inside of it. Deleting a template can't be fixed with Ctrl-Z. All the work you've been doing in the template is gone. It's one time that a popup confirmation would have been useful, but it comes after hundreds or thousands of other deletions have already trained the user to ignore the popup.