Why does OS X warn me before running an app downloaded from the Internet?
There is a credible threat. You have to understand that virus means different things to different people, but the entire reason of it is to let a user know that there's a possible attack vector there. 

For example, I don't think it counts as a virus when you've entered your admin password and installed a piece of software that trashes your system, it's just malicious software. I do however think something that propagates without user knowledge is, Apple seems to take a tighter view of security in general so the warning is for the casual user, just so they know to be careful.