A price warning is a UI element that pops up to inform the player that either
1.He sells item far below average price
2.He buys item far above average price
3.Item price exceeds some game limit or is below minimal listing price for its type.
A large-scale MMO game requires these price warnings to discourage arbitrage/speculation and exploitation of new players, stabilizing price ranges as side effect. For smaller scale games(one-server MMOs) this requires a manual adjustment to determine "average/fair price" but otherwise the mechanic is identical.