Does the game warn before evolving an Umbral Aniimo?

The prompt is your only chance to back out, because what it protects cannot be restored. Evolving or transforming an Umbral Aniimo strips its Umbral form entirely: the dark appearance, the Umbral state and the special perks all go, and the evolved creature does not carry any of them forward. Transformation counts too, so a prompt you click through on reflex during a transformation costs you the same thing.

Treat the warning as a real decision point. If you are keeping the creature because it is Umbral, cancel. If you are only after the evolved form's stats or moves, the trade may be fine, but the Umbral version you had is gone for good.

There is a way to have both. Evolved and fully evolved creatures can turn up directly in the wild in Umbral form, so if you want an Umbral version of a later stage, catching one already evolved keeps the form intact. Umbral variants spawn at random and at a low rate while you roam the open world, and they can also appear during bloom events.