AFAIK it’s not a warning that you have to confirm. It’s just a warning that pops up and disappears after some seconds.
No, this is not possible. As long as you have Magisk installed, you cannot lock the bootloader.
And remember that after locking the bootloader, the phone will be completely wiped. So you would have to set up your Fairphone again.
That is not quite clear yet.
But you can use fastboot flashing get_unlock_ability to check if unlocking the bootloader is still possible before you actually lock the bootloader.
If the result is 0, you can no longer unlock the bootloader and you should not proceed with locking the bootloader.
If the result is 1, it should be possible to unlock the bootloader again.
Here is a post describing the process of installing iodéOS: