I just came in here to look for a bug, feature request, or similar for this issue, as I'm getting rather tired of fielding desperate calls for help from users who foolishly included their user account in the composite master key.

Paul definitely has the right idea; I think the popup should probably be in the form of an expansion of the dialog box, rather a separate modal window (similar to Firefox's dialog box notifications, which when you check certain boxes expand slightly to include additional instructions). Ideally, it should be a fairly stern warning, but not prevent an expert from using their account in the CMK.