Warning about shinies when you caught one are not good solution IMO. If you want to help new players that arent aware about shiny market, just make a warn on the FAQ or make one threat for new players and make a link of it on FAQ.
The community that plays everyday or at least 2-3 times a week knows the marked of shinies, and after my 670 hours of playing, i didnt want to sell my shiny to anyone, of course, because i was aware about it before catching one.
IMO, this problem is an INFO problem, warn it just when you catch one, will not work.