Most likely the warning is there because of carbon black. Carbon black is carcinogenic in particles of respirable size. It is also in nearly every plastic or rubber compound that is colored black because of the superior UV resistance that carbon black provides.
Because product manufacturers don't always know how the product will be used or misused, it is easier to add the warning label than to assume the liability if someone drills, grinds, or abrades the part and turns the solid into respirable particles.