Hello,
We can suggest you to use an Address custom field, see my screenshot :
Warning : While I created this screenshot, I forgot an option,
Read only =>
Yes, in the
Extra Attributes part.
With this, you will have a message (label + message input), only when the customer select for the shipping address the Country for United Kingdom.
Now, you can use some custom css to dress up this message so that it looks like a warning message, see this
documentation
to add custom css commands.
Hope this will fit your expectations.
regards