Rooting devices with a locked bootloader can be seen as a security exploit, and the ability to do so means that Android is insecure.
What you basically complain about here, is that Google is trying to make Android more secure.
If you want to root your phone, just unlock your bootloader and flash SuperSU. That will always be possible.
The trick is, that unlocking your bootloader will wipe your data partition (hence securing your data from a potential breach when somebody stole your phone). The security warning at the beginning, is to let you, and potential reselling partys know that the bootloader is unlocked, and that with little to no effort all Android internal security measures can be worked around (flash a recovery and root it, and you're a happy data thief).
Of cause from an XDA-Users point of view it looks like that is something bad, but keep in mind that people like the ones you can find on XDA make up a roughly 1% of all Android Users. You need to keep in mind, there are also a lot of business users on Android, and these feel a lot better knowing that there secure company data is save on an Android device. Security used to be one of the major reasons why in the initial Android days nobody was using Android as a business device, and rather was sticking to Apple, cause iOS Devices were a lot securer by that time.
The message at the beginning is one of the reasons why I am still searching for a root exploit on my XP, so I can backup the TA partition and in case I resell it some day I can just relock the bootloader by restoring the partition, but after all, you need to admit that the warning itself is sensible, when you keep the above points in your mind
