A warning wouldn't really fix much for most people. »This file name might potentially not work in certain applications« is far too vague for anyone to determine

A warning wouldn't really fix much for most people. »This file name might potentially not work in certain applications« is far too vague for anyone to determine whether it's a good idea to name the file that way or not. And erring on the side of caution brings you to the same situation as right now that you better avoid those names. For the dedicated there's a way to create them anyway, and many power user tools allow you to create and handle them.