Either that or "hide" the developer tools a bit like they do in modern Android so that it is really obvious to the user if they are directed to mess with things that they shouldn't be messing with without understanding them.
I think that as soon as an attacker tempts the user with: "follow these steps to access American/UK (substitute a locale that has content your account shouldn't have access to) only films that Netflix don't want you to know!" that the apparent gain for the user will lead them to ignore any warnings. In fact, warning might actually encourage these kinds of attacks since the user could think "that's just Netflix trying to hide something, I'm gonna following [the attackers] guide"
The warning won't be fool proof because the world is constantly evolving greater fools, but if well implemented it'll stop at least some of the fools without really impacting legitimate uses of the dev tools.
What the proposed dialog would do is inform users that the console is someplace that they probably do not want to be.