Auto-return doesn't delete anything. Any returned object appears into the "Lost and Found" folder of your inventory.
There is no such alert, but there is no bypassing of anything either.
In your dreams...
If you drop an attachment by mistake and can't find it, simply use the "World" -> "Area Search" floater to find it, or (for scripted objects) the "View" -> Beacons" one (checking "Scripted objects" and "You" in "Beacon/Highlight only on objects owned by").
Again, the object is not "deleted", it is transferred from your inventory to the sim. This is not under the control of the viewer either (the transfer happens between inventory and sim servers).