There will always be some people who are dumb enough to fall for scams regardless of how much warning they get, but something would still be better then nothing as they've yet to mention anything about the in-game phishing attempts.
Other MMOs leave warnings on their loading screens or in the chat window upon first logging in, and XIV already does the latter for other important information such as maintenance notices and currently active events. I think even just that could mitigate the amount of people falling victim to this significantly.
