Admins don't run the mediaproxy because a) they don't want/can't store remote media; b) don't want to process attachments on the server (via the thumbnailer), because it is a large attack surface to exploit. Both are perfectly valid and good reasons not to use it. Same reason why the image processing upload filter is disabled on the backend.
A remote server will always want to provide the best quality attachment to other server/user simply because there's no way to know if a user not using mediaproxy wants the full quality image or a thumbnail. Solving this would require a FEP to properly standardize federating both links (thumbnail and full quality), frontends that properly support switching between the two and servers properly supporting this. This is frankly not happening for a long time if ever.
A warning is an option, but if you make that too visible (like a modal), people will complain it's annoying and we are back to square one, because they will make excuses to not turn it off like currently is the case with webp compression.
