I've been treated by multiple psychiatrists (the drugs did not work, as far as I can tell, and one made me significantly sicker) and never had a psychiatrist tell me the drug they gave me may make me feel worse at first. In fact since this warning is in my experience unheard of, I question whether you are confused about the above claim. (Though it's possible things have changed since a I was last treated, I suppose)

Since a lot of the benefits of these drugs may be the placebo effect, that would be a pretty odd thing to say since they could undermine their treatment.

Psychiatry is like a science that hasn't been invented yet. If someone is seriously depressed it may be worth a shot to try drugs but the psychiatrist will have no real clue what the drugs will do, just educated guesses based on flawed studies.