[Nextgrid]

That warning actually depends on the “carrier profile”, a configuration file the phone silently fetches (or has cached in firmware builds) based on certain attributes of the SIM like the ICCID or MCC/MNC.

There’s a field in there that configured whether that warning should be shown.

[ThePowerOfFuet]

Correct, and it didn't appear for carriers which were whitelisted (who zero-rated the iMessage activation SMS).

My memory, which may be wrong, is telling me that the first major version of iOS which included iMessage did not include the warning at all, and that it was added for non-whitelisted carriers (aka those which did not sell the iPhone) to prepare the user for the possibility that they will be billed, based on user feedback precisely like the comment to which I was replying.