Don't blame this one on programming techies. This one is ALL the fault of shitty UI designers abusing modal dialog boxes.
A modal dialog is supposed to be for something damn near irreversible--like about to blow away your application because of error. You are supposed to STOP and go get the guru or you are about to lose, badly.
Unfortunately, UI designers throw them up for everything and people get used to simply clicking "OK" to make them go away so that they can get back to doing their task. So, when the user gets an actual error, they've already blown away the dialog box with information.
Your 'Saving this image as a JPG will not preserve the transparency used in the image. Save anyway?' line is a horrifically excellent example. That is a standard "Save As..." response, and it should NEVER have been. That should have always been under "Export..." as saving should never throw away information and it would be perfectly fine to regenerate a JPG as long as you have the full information still available in the original file.
This is the stuff that infuriates me about the UI designers. Your job is about interactions, first, and pixels, second.