To be fair, there are plenty of other dangerous things that you can do
with Windows that don't have warning messages pop-up. And using the
loop driver is of a complexity which is higher than what you would
expect of a typical Windows user. You might as well complain that
Linux doesn't give a warning message when you run some command like
"rm -rf /", or "dd if=/dev/null of=/dev/hda". I'm sure there are
similar commands (probably involving regedit :-) that are just as
dangerous from the Windows cmd.exe window.....