I wonder why it's not done like the "undo send" feature (I'm aware that it just delays the sending, so that it could be "undone"): "it seems that you wanted to send this e-mail with attachments; do you want to go back and add them?"
Moving this message of 'did you forget an attachment?' to that same message would result in a mixed and unpredictable result -- unpredictable because you didn't know you forgot about the attachment. You expect a confirmation message, dismiss it (meaning you don't even look at it), but instead the attachment message might have been shown there. You wouldn't have known.