The screws are long gone, to unlock you prove ownership by sitting for a few minutes pressing the power button when told.
Wiping the installation is very much expected. The security model includes protecting data, of course data has to be wiped when removing security. Data on disk is encrypted with a key stored in the security chip, which destroys the key when security settings are changed.
Android does the same for fastboot unlock.
What's the big deal? If you want to flash UEFI and use a custom OS, why would you want to preserve the ChromeOS partition?
You can get rid of the warning by physically removing a write-protect screw and replacing the firmware. It's still a very user-hostile feature because it's not just a 'warning' either, but actively prompts you to wipe your existing installation. That sort of thing is very much what you'd expect in a toy, not a machine for serious use.