I have something similar to this on a links list I'm developing. Links are listed in the usual way, but there is an option to click on details for each said link. Once a surfer clicks on details the script shows a screen cap - pulled from the site in question.
As someone mentioned, clicking on a thumb, only to get a warning page, might be a tad confusing.
Screen caps I think are more appropriate for free sites. It might also encourage more webmasters to pretty up their warning pages a little.
