@Zero Aside from confusing the message, it would be a challenge to safely design it that way. If the Switch were to be removed from the dock with the hard disk while it was in use, it could end up damaging the drive and / or the Switch. Sure, people should be smart enough to not remove it when it's powered on, but accidents happen and it could prove tricky for Nintendo to design that feature in a safe way.
@WrathOfSamus777 I don't think those exist yet.