Many countries do not regulate cryptocurrencies. Some counries warns against crypto investment. Cryptocurrency investment are very dangerous but if you have experience cryptocurrency investments can become very profitable and there are a lot of traders and trading volumes on the exchanges are very big.
It's true that cryptos are not regulated in most countries but they are not warning directly the people about crypto investments as said in the OP. The SEC is giving a warning to those investment schemes that are fooling the investors and making them believe that they are legit. Dangerous word is I think inappropriate to describe cryptocurrencies. It's risky and volatile but not that harmful if you are well-informed and you understand the legit and projects you must avoid because they are scams.