Then you apparently don't work on PCI grade machines. Many particular industry security standards dictate you put a 'if you are not authorised disconnect now' message in the motd.
I wish there was a way to know how many evil-doers cancelled their evil plans after reading that kind of MOTD.
AFAIK the theory is that it helps with prosecution - if they got this prompt they clearly were told where they are and that they are not welcome and can't try to excuse themselves through some mistake or not knowing that they shouldn't access.
Chip's defense from the Dave Chappelle bit where he says, "I didn't know I couldn't do that"
To be a bit pedantic: I would expect that kind of message to be put in /etc/issue so it is shown before login. /etc/motd is only shown after a successful login, which is a bit late for such a warning.