Would be cool if the note changed to something like: “You May... call a Duplicate (you won’t gain anything)” to make clear what’s happening here, or a line in the log saying “Gaining X Failed (Not In Supply)”.
I think the latter option is best.
I'd rather have the log better explain what happened according to the rules than start down the road of warning players of unintended consequences.
Why?
Well, if you go with the former option, you have to decide on a case-by-case basis when to warn a player and when to not. Most people might agree that calling a Duplicate for no gain is worth warning a player, but there are so many other things where it might not be as obvious.
It would be kind of friendly to have such warnings, but it would surely just get confusing/annoying and there would be cases where it is not clear which is the 'expected' behaviour and which is the one to warn about. Eg when Upgrading a Copper, would you have a warning saying "(you won't gain anything)"? What about Upgrading a Copper with a Highway in play: "(you won't not gain anything)"
On the other hand, Lord Rattington might find all sorts of warnings quite helpful.
Chapel: "Confirm Trashing (your score will decrease by 24VP)"
Vault/Torturer: "Confirm Discard (if you keep choosing this you may start to feel like rage quitting)"