Paul's recommendation is very good.
Here's more on setting up such a list:
How to create numbered headings or outline numbering in Ribbon Versions of Word by Shauna Kelly

You are essentially setting your WARNING as a bullet.
How to control bullets in Ribbon Versions of Word by Shauna Kelly

Even though you are setting up numbering, it is attached to a style and can show up in your quick styles gallery.

The style can be set up to have border or can have a frame as part of the style.
Frames and Textboxes in Microsoft Word