I agree that the issue is one of understanding. People come here hoping for help without understanding how big the community is, nor how well the information here propagates. I believe most speak generally enough, post only that which is relevant, or post anonymously enough that it doesn't matter, but you will always have some who expect they can get an answer, then somehow erase that they ever asked, and find that it's not possible due to the design of the site.
Unfortunately nobody reads: http://blog.codinghorror.com/treating-user-myopia/
Stack Exchange has, largely successfully I think, worked hard to design the interface so that users naturally know what they need to know in order to do the right thing: http://blog.codinghorror.com/the-just-in-time-theory/
So rather than posting a notice which no one will read, it's probably worth thinking about how the user interface is currently designed and why it's making people feel safe to divulge personal, intimate information to a public website.
I don't know the answer to that question, but I think the answer to your question is, "We shouldn't use a warning, we should change the interface so a warning becomes unnecessary."
That, however, is probably worth bringing up on Meta.SE, though I believe the problem is more critical here.