There is, though, a good reason for this. Peanuts are not, technically, nuts.
Although a nut in the culinary sense, in the botanical sense the fruit of the peanut is a woody, indehiscent legume or pod and not technically a nut.
That is, they are more pea than nut.
Speaking of warning labels, Googling for peanuts "may contain nuts" did bring up a rather cute article in The Times on seemingly daft warnings you can find on products. It had the following list of favourites:
Wearing of this garment does not enable you to fly
Child’s Superman outfit
Do not turn upside down
On bottom of a tiramisu
Warning: Not intended for use as a dental drill
Household DIY drill
Do not attempt to stop chain with your hands
This product moves when used
Use this door only when entering/exiting
An office door in Pittsburgh, Pennsylvania
(inspired by Robot Wisdom)