I often assidentaly try to delete a smart object while having a selection, and the "could not complete your request because the smart object is not directly editable" appears. Then, I have to move my pointer to hit OK, instead of just hitting Esc to get out of the dialog, hit Ctrl + D and get on with my life.
A much easier option is already present in Layer Styles - double clicking on the layer panel opens them, but if you accidentally clicked you can hit Esc and quickly get out.
I think the dialog for smart objects was made to educate new users, but for people who know how smart objects work it's a bit time consuming (at least for people like me who often do the mistake with selection).