These exclusion sets appear when you have a view with multiple points, i.e. you have one dimension on the columns shelf and one on the level of detail shelf. Then, when you select multiple points, right click and select Exclude, the set is created. When it is removed from the filter shelf, it means that the exclusions are back in the view. It does not give a warning because essentially it is just like any other filter--removing it does not prompt a warning. The bottom of the this KB article may provide further explanation:
Hope this helps a little bit!
Okay - that makes sense. Thanks Tracy.