Without a warning, you have a distribution over the harm level, and with a warning you have another distribution over the harm level. If the distributions aren't the same, you have learned something. Of course they could be even more informative if they gave you an actual number.

I'm not sure the reason for not giving a number is fear of offending the innumerate. I suspect lawyers instead advise against giving a number for fear one might be sued for giving a bad number.