Yeah, anything that becomes an 'always on' warning in most cases tends to be mentally filed under processing overhead and ignored.
If someone gets a lot of external emails, and it comes with an extra disclaimer or click-through every time then this is probably going to be filtered out.
If however, the warning can be provided to the user at specific boundaries when there is a heightened risk of an attack or a mistake, then this makes sense:
This is of course not exhaustive, but when you are competing with a lot of distraction it pays to be sparing.
I have something in place just a warning. If you want to look for something, search for visual clue warning for exchange.
I think for my users, something is better than nothing
I would recommend using an email security product that checks out links in emails and removes them if they are deemed untrustworthy.
Another way is to add a 'Suspicious Email' button to the email tool bar which sends the email to an IT Help Desk or similar who can then check out the link in a secure environment.
I agree that if the message is always there it will lose its effectiveness unless it is reworded or as part of an awareness program that covers various security vulnerabilities.
Adding a warning to external e-mails makes sense if the number of external e-mails is small compared to the number of internal e-mails. If the majority is external, it's overkill.
However, the trigger for this warning seems to be the sender's e-mail address and not the external link in the e-mail. If this is true, internal e-mails that have external links included will be missed which would defeat the purpose of the warning message.
In the end, it's the user's willingness to be vigilant.
The problem you have is that domains that are whitelisted appear as trusted domains so the warning wouldn't get applied. The answer is to educate the users to recognized genuine emails against SPAM or those containing malicious content, i.e. hyperlinks and attachments. Just tagging external mail will eventually become white noise in your email system and people will not care what they click on. So get them to identify the signs of suspicious emails and give them an avenue to send those suspect emails to a team who can evaluate the email safely.