It is possible to have a default selection in filter. You just need to select the appropriate value before publishing the dashboard to the server. As per the warning message, you need to create a separate sheet where you write the warning message and show that particular sheet when someone filters something other than what you intend them to do. You have to use sheet swapping methods to bring the warning message. you can find few methods on sheet swapping here - http://drawingwithnumbers.artisart.org/tag/swapping-worksheets/
These methods might not help you directly, but it will certainly give you an idea of how to use them for your particular problem.