There's definitely something wrong with it. There are legit reasons for wanting to turn the volume up, and you can't do it without pulling the phone out of your pocket. I take the subway every day. When trains enter and leave the station, I can't hear the podcast I'm listening to without turning up the volume past the limiter. When I'm on my way home from work, I often have my hands full and find it annoying to have to put everything down, pull my phone out of my pocket, turn up the volume, clear the warning, and then pick my stuff back up.
It's a lot easier to use the volume rocker on the earbuds that came with the phone to turn what I'm listening to up and down whenever a train comes in and out of the station.
Also, others mentioned EU and US law forcing this warning, which I doubt. Such a law would also affect Apple, and as far as I know iPhone has no such warning. I have an iPhone 5s sitting right here and could get no such warning to appear. The only even closely similar "feature" I was able to find was an option to lower the max possible volume setting, which is off by default.