If your opponent’s mistake is going to alter the course of the game significantly, then I feel it is good sportsmanship to warn them.
For example: Italy has 62 IPC in the bank and does not build units in S. Italy (leaving it bare.) They failed to notice that the French infantry in Syria can take Jordan and open the Suez canal. Since Germany has no units in place to close it again, the 4 British Transports in SZ 81 (with control of Egypt) can sneak in and take S. Italy. I would warn my opponent in this case.
For example: Japan lands 2 strategic bombers on Java. America is able to open an attack route for Australia and Australia can hit this with a transport in SZ 62. There are no other units in Java but the two strategic bombers and no naval ships to prevent an unescorted transport from landing troops there. This is a grey area. If Japan has a winning stance on the board, I probably would not warn them, if they are getting their butt kicked, I would probably warn them.
For example: Italy leaves a destroyer picket for the German fleet. Russia has a submarine that can attack this destroyer allowing the Allied navy to sink the German fleet and invade W. Germany. I would not warn my opponent in this regard. 1) It is not a capitol. 2) It’s the Red Oktober man! Give it a job function of some value! 3) Can Opening is a standard practice in the game, players should be more than aware of this.
Essentially, I think, it all boils down to:
1) Are you winning or losing? If you are winning, then there is no harm in warning your opponent. If you are losing, there is still no harm, but you might want to take advantage of some smaller mistakes.
2) How big is the mistake? No one wants to win because Germany didn’t defend Berlin enough to stop a solitary Russian transport from taking it. Then again, if your main goal is to have America invade Japan and the Japanese forget a path into SZ 6, then you might want to rub salt into that wound.
3) Do you want to play this person again in the future? Hey, you might scoff, but no one wants to feel cheated and animosity can effect future game play.