No, it won't break HTML Validation. Your pages will still be valid XHTML, but just aren't parsed by the browser to be strictly XML compliant (which is another thing than XHTML). Also, XML documents have some restrictions in combination with JavaScript. This includes document.write and some jQuery functionality and plugins.
I used to think the same way as you do, but the XML header causes so many problems, it's just not worth it to go and fix stuff for this (I'm talking about code written by third parties like jQuery plugins, that work perfectly fine without the XML header).
Update: You don't need the "warning" system you speak of, validation covers that already (eg. an unescaped ampersand also fails validation).
Update 2: FYI: Here's an example of a native jQuery function that doesn't work with an XML document: http://api.jquery.com/html
Plugins relying on this function will fail.. not sure if there are other functions like this, but it's possible...