I tend to believe that there is a lot of reading into that scene issues or subtext that doesn't exist. I watched the scene again as that line "Let it be a warning" always made my ears perk up too. I was never exactly sure what he was referring to. Then I think I figured it out.
Looking at the scene and going over the script I noticed that the exchange prior to Lawrence's admission was somewhat revealing. Allenby scolds Lawrence for "acting without orders" to which Lawrence replies: "Shouldn't officers use their initiatives at all times?" Lean then cuts to a wide for Allenby's quip of "Not really. It's awfully dangerous." To which Lawrence replies "Yes, I know."
It is this brief exchange that then begins the setup for Lawrence's confession of his enjoyment in the execution. So I believe that Allenby's "Let it be a warning" was in reference to his previous scolding and that he would let Lawrence off with just a "warning" not an actual reprimand for disobeying orders of the campaign and the unfortunate killings.
But that seems like an awfully uncharacteristically clumsy way for screenwriters Bolt, Wilson, and director Lean to reiterate a point Allenby had just scolded Lawrence for. I mean, wouldn't he at least have said something like, "See what I mean? That is why acting without orders is so dangerous" or whatever instead of leading into that second "No, something else" with a suggestion that Lawrence had just brought up a new topic, one that Allenby hadn't considered (Allenby: "I see"), followed by a dismissive, "Well that's all right"? Not to mention the wrinkle in that theory that, if Lawrence had just defended his "acting on his own initiative", why would he be so troubled by having done so (as you suggest Allenby thinks is the reason Lawrence is turning down a promotion and resisting orders to return to the fight) that he would try to refuse a promotion to Major over it.
And then there is the problem that Allenby couldn't possibly know the particulars of the killing/execution, whether there was the least bit of time or logistics to report to headquarters and wait for orders to proceed or anything else about it. In fact, he doesn't even ask, appears not to care what the reason was, who it was, why it had to be done, might not even consider the execution of an Arab an issue worthy of worry or discussion in the first place.
When I watch this scene, it appears to me the filmmakers treated this exchange of dialogue as one of if not the most important exchange of dialogue in the movie regarding Lawrence's character, psychology, mystique, his relationship with the region, the people and the mission, the dynamic between all of that and his military/political superiors and so on. The forward push of the camera, moving as it does ever closer to Lawrence, the intensity of the moment, the courtroom-like interrogation set up with two other main characters as witnesses, coming as it does minutes before the Intermission suggest this is a very big moment. Personally, I don't think reading too much into every word of it is a risk.
Edited by Cineman, May 30 2013 - 08:02 AM.