It would be great if that were actually 100% effective, but unfortunately phishing still happens despite such warnings.
In a situation where a message on a screen tells a person to do x, and a person on the phone tells them to disregard it because it’s a computer error or whatever and do y, some percentage of people will do y.
The only way to prevent that is for there to be only one option – the safe one. Sometimes that has unacceptable other implications of course; this might well be such a case.
