Yes, I thought they added that quite a while ago. I haven't bumped a button on a long while. Is it immediately switching when you are using a different channel, or only if you're on the home screen? I think you have to be using a different channel before the warning appears.
I just tried it on one of my Roku TVs. If I'm at the home screen, it jumps to the shortcut channel immediately. If I am using a channel (I tried YouTube), when I hit the shortcut button the "Are you sure" message appeared at the bottom of the screen. So it appears it's still there, but only functional if you're using a channel and not on the home screen.
Ok, looks like something is broken. I tried it on Prime Video and Roku Media Player, and both times was taken completely out of what I was watching. YouTube was the only one that provided me with the prompt.