Answer
No — this doesn't work reliably from a Custom Event Action, and the reason is architectural rather than a bug to work around. Warning messages raised via Client_SYS.Add_Warning are only evaluated at the 'CHECK' stage of a save operation (assuming warnings are even enabled on that window), and the CHECK stage typically doesn't modify the database — which means the triggers backing Custom Events generally don't fire at that stage at all. Since the event never fires during CHECK, there's no reliable point at which an event action can raise an Add_Warning-based interactive confirmation and have it actually block or branch the transaction. Client_SYS.Add_Info-based informational messages (which don't require a user decision) do still display reliably from event actions; genuine interactive Yes/No branching logic requires an actual code customization rather than an event/action built around Add_Warning.