Is there any possible for the Mikrotik showing warning message when user browse blocked content?
As the info I get is just HTTP proxy can do this, but it just can block http only.
MT is not the wright platform for the functionality, you want.
On openwrt-based devices, you can do this either based on
DNS
or by impleneting a full fletched proxy.
Will also work on https, with some browser warnings, though.