you can't disable this warning globally, but you can use the {$WARN NO_RETVAL OFF} to disable locally the warning.
{$WARN NO_RETVAL OFF}
function TfrmNagScreen.Run: TOption;
begin
if ShowModal = mrOk then
Result := TOption(rdgAction.EditValue)
else
Abort
end;
{$WARN NO_RETVAL ON}