Did you have a death date entered for your grandmother? If not, that may be why no warning was given. Of course, if you did, then it's anyone's guess as to why. (Obviously, a programming issue...)
I find the warning feature to be sketchy, at best. It'll also give a warning if I'm trying to attach a child to a living couple that includes a 2nd wife even if you've selected the 2nd spouse. The warning asks if you really want to save this child because the birth date is after the mother's death. The programming always recognizes the 1st wife's date of death when entering subsequent children with a 2nd wife.