"Don't ask me again"

The “dont ask me again” option shows when entering lowsec or deleting a bookmark etc.

If you have clicked it and later change your mind (“I’d rather be warned before doing this after all”) is there a way ? And if here isn’t, shouldn’t there be ?

Yes, under Settings - there’s a “Reset Settings” option that has the option to reset any of the warning prompts (for whatever activity) you’ve previously ok’d.