We need a warning messages for invalid character filenames.

Counterpoint:

There should absolutely not be an automatic resolution for this. Nothing is broken here. Dropbox should never automatically modify a user's file to fix a problem. If a user names a file a specific way, even with characters that would be considered illeagal on a specific OS, they likely have a reason for doing so and Dropbox should not act as though it knows better.

I have both Mac and Windows, and I have files in Dropbox that have characters in their name that are considered illegal on Windows, so those files do not sync. There's nothing wrong with the files being named as they are. They're named as such for a reason, and if Dropbox were to "fix" them by removing illegal characters, they would end up breaking something else. The fact that they won't sync to a Windows computer is of no concern to me (in fact, I count on it).

Dropbox already provides the perfect solution for this; a utility to notify you if you have "bad" files that potentially won't sync properly. It's not up to them to "fix" a file name that isn't broken.