Is there a feature where you can put up a warning on a snap, so the person it is being send to gets a heads up before he gets it, so he/she can get somewhere private?
No, there is no such warning for Snapchat and the snaps you send through the application. You can simple send another snap before the important one to let the user to go to somewhere private. I've checked all the features offered through Snapchat and this one you're referring to doesn't appear to be implemented yet.
For other information, visit the following website: https://www.snapchat.com/
