I intentionally did this very recently for a whole bunch of old repos (mainly because a Github bot decided to start emailing me weekly about vulnerabilities in stuff that has been untouched for nearly a decade) and was mildly annoyed at how inconvenient it was to make them private. I would have said the warnings are unnecessary overkill.
Same here - not too long ago I had to take a bunch of repositories private, and while I appreciated the prompt (I've dealt with destructive actions that have even less of a barrier before, and that sucks) it still was annoying to do that again and again.
It's quite amusing to read this so soon after.