Hey Axel - this is your warning -- back-up your library! ;)
In all seriousness, we get DJs complaining about the amount of pop-ups and warnings we have in rekordbox, so adding another would't be going in the right direction. And rekordbox, by default, keeps 3 copies of your database in backup "just in case."
But yes, I certainly do recommend keeping backups of the full database, analysis files, etc, by using the Library > Backup Library process, or by mirroring your drive to have that data in another location.