I think it's probably a reasonable argument that for affiliate traffic, one can bypass the warning page, under the theory that the affiliate should not be sending traffic that has not been age verified in some way.

However, for direct traffic, I think that having a warning page is advisable.

Also, of course, I think one can make a nice, snazzy warning page that will still give a clue of what's inside, but without any naughty bits... and in that case, it really shouldn't have that much of an impact.