I like the cookies the way they are. I have always recalled a mention of nuts on the bag, although a few times in Europe, they have had no bag and had to use a substitute.
I can see the value in them warning people, but equally the people that I know suffer from Anaphylactic shock, would never bite into anything without some form of enquiry. It really doesn't make sense. Although I suspect there are a lot of people who describe themselves as allergic, but really just don't like nuts.