I think this is entirely on the VE side. Parsoid generates a ParserOutput, and the warnings should be present in ParserOutput::getWarningMsgs(). It's likely that VE's preview API doesn't actually return these to VE and/or VE doesn't have UX to display it, but I believe all the necessary information *should* be present from Parsoid.

We're untagging Parsoid for the moment. I couldn't verify exactly where this warning message is coming from -- I suspect it is added to the ParserOutput via lua code in the Infobox Scribunto module, and so should work the same for Parsoid and the legacy parser. If for some reason this warning isn't showing up in Parsoid's ParserOutput feel free to re-add the Parsoid tag.