If you delete warnings, you would give people an imperssion that you're running from the law. It makes me think that you want to hide that you were in trouble - and in this case - before this message. If other Moderators/Admins/Bcrats wanted to warn you, then they need to know how many times you've been blocked, how many warnings you had, ect. When you delete messages, you're stopping us from giving apporate actions, you may get a longer block for something that deserved a shorter block, for example.
Just don't delete warnings at all.