You can't give a user direct feedback from a server plugin, the server system runs asynchronously and it can also be a different server than the GUI. Everything that shall show up as message to prevent that the user can save a record must be checked in the GUI. What you can do on the server side is to use the $app->log() function to log a warning message.
I thought so ... However, upon web domain insert there is an ajax red dot in the top right corner, indicating the number of tasks in the queue. A possible feature request would be to mimic the behaviour of the red dot for a warning message, under the condition of running on the same server with GUI.