Yes Alan that is the beast, I can't recall ever having changed it, but it 'is' a user set value to display the popup rather than load a page to display the error.
The Blue OK button is I believe from my Noia 2.0 theme/skin, I don't know about the Red (stop signal style icon) button though.
Thanks for the detective work.
Edit: I have changed it back to the default as that allows for other options, acceptance of the risk and allowing the site, etc. This is more flexible than the user set option, which only allows acknowledgement of the warning (OK) and no display of the page. I really have no idea how this changed, I hate mysteries.