I think it would be better to specify the type of risk in dealing with these NFTs in order for the advice to be accurate. Just a simple warning may not be enough if the user is not aware of the true type of danger.

According to my assessment, the harm is not in dealing with any of the assets on a private address (which you own its private key), or using any of the platforms on which it will be promoted that those assets can be used. Those who create and send these NFTs have a complete plan to benefit from all of this, and unfortunately, most users do not have sufficient experience to properly handle their addresses in a secure manner.

The most important advice, in my opinion, is to ignore everything that arrives at your crypto address for free. Also avoid linking the wallet to any unknown platforms, no matter how the opportunity looks promising.