There's no need to issue a warning when you've been ignoring their advice all along; the note below was created in 2022 and Apple has made similar statements since at least 2017:
Make sure that each family member has a unique Apple ID - Apple Support
Feel free to complain to Apple below, but this is something Apple has explicitly told users not to do for at least seven years:
Feedback - iPhone - Apple
Asking Apple to warn you is like being pulled over for going 50 MPH in a 25 MPH zone and telling the police officer that they should have publicized they were going to be ticketing people because you've always driven 50 MPH there.
There's nothing anyone can do about your mixed voicemail now, but going forward:
Use unique AppleIDs.
Apple considers each and every device signed into a particular AppleID to be a device used by one person and one person only and data is interchangeable with each of those devices and they've long been working to actively sync data between each of those devices.
Over the past few years, it's included Safari history, SMS/iMessage Messages, and now call history and voicemail.