It doesn't seem like warning shots are very often a good idea. Mainly because of the difficulty in finding a good, safe place for that bullet to go. It also seems unlikely that most situations would be appropriate for warnings shots, even with an appropriate bullet stop.
However, as in Uncle Buck's example, it's obvious that they're useful at times.
As for the "message" they send, I think it's impossible to say unless the message is meant for you. Is it "I'm not willing to shoot you" or "I don't want to but I will" or "I'm so eager to pull the trigger I'm going to shoot dirt, don't give me a reason to put one in you"? Whatever message the shooter may intend, don't mean that's the message the BG is going to get.
Take a literary analysis class sometime. Even "obvious" written word will have a 1/2 dozen translations to it's meaning that everyone else can't imagine how the other 5 people see it that way. A "nonverbal" message in the form of a gunshot is sure to be translated a variety of interesting ways!