Indeed. Or even "don't click on suspicious emails or visit suspicious websites" which are actually always harmless. How about simply "don't run a program you don't trust" and we wouldn't need virus scanners at all.
Because of this, I am going to assume that it is enabled by default on IE. Correct me if I'm wrong. IE has about an 18-20% share of the browser market [1]. A significant amount of targets by any measure!
So as long as it is true that a large percentage of the target market could benefit from "Don't visit/view!" security advice then it makes sense to include such advice.
[1] http://gs.statcounter.com/#desktop-browser-ww-monthly-200807...
Drive bys are still of course possible via Adobe Flash and Reader exploits, the occasional IE exploit, and the rare Firefox exploit.