Then you will (probably) get malwares that open a window in fullscreen that imitates that prompt and sends data to a server.
You probably could add some kind of fingerprint that allow identifying the legit prompts, but since it is not done with login screens...
This is why Windows used to ask for Ctrl-alt-del before login. And if you have malware already on your system, it's already too late.
Aside from already having malware making this irrelevant, if you didn't just physically attach a new keyboard, the message about a new keyboard is also going to seem very suspicious.