This warning gives me several reactions, some of which are not yet posted, so . . .
First, in many stores, the cameras are there for reasons other than mystery shopping, such as in a bar, or convenience store. Security and/or theft deterrence are great reasons. So the client or MSC takes advantage of what is there to send a warning to flakes or dishonest shoppers to be honest. Possibly, the client or MSC has been burned by dishonest shoppers, so they give the warning.
Second, it is very rare to have the cameras watched in real time on a regular basis, such as at a casino. Most companies review the videotapes only after an incident occurred. So, I'm not surprised to hear of someone making obscene gestures to a camera without repercussions.
Third, I have learned to live with it. In 99.99% of the cases, no one is watching or will review the tape. But if someone challenges my shop, let them review the tape. I'm all for it. Then, the client just blew the cover off a good shopper for them. That is their loss.
Happily shopping Rhode Island and nearby Massachusetts and Connecticut