Hmm, I'm unable to reproduce that.
If I copy a file from an excluded folder to a non-excluded one and click "No action", I indeed get two warnings - but that's because the first warning is "On close" and the subsequent one is caused by Total Commander (used to copy the file) is extracting an icon from the file.
If I press Delete, however, the file is deleted immediatelly, no subsequent warnings.
Does the file get copied to the target folder actually? (if you press the "No action" button)? If yes, then it's not a problem with exclusions - if it were, it wouldn't be possible to copy the file because the access would be denied to it.
Do you use any special method/program to copy the file? Any special Standard Shield settings? Anything else that might be special?