I agree with you. Media Center allows you to "delete" a file from the program while logged in as a client, but those "changes" don't stick.
The only warning you get is the one you see when you first connect to the library server. There are no other warnings after that one.
That's the way the programs works, I believe by design.
When I need to do tagging from a client machine, I have to remember to log off Media Center from the client, then remote connect to the machine running library server, log off that version, then re-open Media Center on the client, do my file operations, then logoff, and log the server back on, then reconnect with the client.
Matt had asked a little while ago for some input about this, and he got some good feedback, but he never indicated what/if any of that advice they would implement. It's been about 2 weeks since a public release, so I'm guessing they are either slaving over the code changes to make some of those suggestions a reality; or they are on vacation
I'm hopeful for some changes to the media network soon, allowing Media Center to really be "a whole house music, movie, TV, and photo solution."