I don't see why. I assume the logic is that the surfer should be warned before even encountering a potentially "harmful" link, and I think that's taking it a bit too far. With your setup only the space below the enter link is available for advertising. Let's not forget we're in this to make sales.
Personally I don't nitpick about the layout as long as recips are above enter and both enter and warning are clear and easy to find.