This isn't a gameboy. If you want toy security I can sell you a phone painted black. But if you want to stay alive when the Syrian police are hunting your people you might want to rethink that.
I know people click through warnings. If that warning could keep them alive, as a dev I'd better do something that'll get their attention.
Also, if they only softly bricked these phones the counterfeiters would just click-through the warnings and sell the phones that way. They have to essentially burn them, for the safety of people who need to be their customers.