Auto-removing the kernel before reboot is also not a real problem. It means kernel modules for the currently loaded kernel cannot be loaded anymore, as they have been removed with the old package. So e.g. if you choose to install Docker or a firewall (iptables/nftables) or WireGuard or any such afterwards, which usually requires a kernel module to be loaded, it will fail to start/work until you do the reboot. For this reason, if an old kernel package is removed as part of a DietPi update, you will be prompted with the recommendation to reboot, and dietpi-software will deny to work until you reboot.
The warning shown on (manual) package removal does not check/know whether you have a new kernel installed and configured, including matching initramfs image and adjusted boot config etc. But the Debian and Raspberry Pi kernel (meta) packages are designed a way that they pull in the new actual/versioned kernel package as new dependency, trigger initramfs and bootloader configs automatically, so that afterwards it is save to remove the old versioned kernel package, which in turn has no dependent anymore.