Forgive me if I'm wrong, but I am under the impression that is the way it works - you cannot orphan a private profile, period - no popup, no warning, no banner, no nothing - you simply are not able to do it.
I expect that this profile was probably open - or at the very least, public - when it was orphaned and something later caused its privacy to change. It has frustrated me when privacy suddenly changes, seemingly without reason, but I've seen it happen on occasion when I add a parent or a child to someone.