Why bother warning us? Even if such a burst is coming, there's not a hell of a lot anyone can do about it. Same as a giant asteroid. If one came towards the earth within the next little while, we'd be warned, but again, there wouldn't be any point, since we'd all get wasted anyway.
I figure, as far as space-originated dangers are concerned, it's better to not know, live happily, and be killed, than to live in fear for a while, and be killed.