There doesn't have to be a warning, but it is a provision in the rules if the umpire chooses to use it. He can eject a pitcher immediately without a warning if he think it is justified.
In this case, it seems that he thinks a warning was the best method of managing the game. Sometimes a straight ejection is the better way to go, sometimes it isn't.
Umpires do the same with all sorts of behavior such as coaches arguing balls and strikes, judment calls, etc. It is all part of managing the game and a skill that can take years to perfect.