Actually, you should have received this warning...
...I'm wondering: why even have this warning & allow people to move a set of files into 1 file, each file overwriting the previous 1?...how useful is that?
I think that it should always move a set of files into a directory (whether the destination has a trailing slash or not)...it shouldn't be possible to shoot yourself in the foot this badly, simply because of a theoretically "missing" trailing slash (it's not missing: that is the destination, which should be assumed to be a directory, since we're moving multiple files).
I also got this warning a few days ago, it scared the crap outta me (not wanting to lose my files!), so I clicked Cancel (I didn't lose or move any files), then I used the remote command line, with a command I knew wouldn't have any horrible side effects, to perform the move.