Step 1: Understanding the warning.
In the story "The School Days of an Indian Girl," Zitkala-Sa, a young Native American girl, is warned by her friend Judewin about the harsh consequences of going to the boarding school. Judewin tells Zitkala-Sa that the people there would try to cut her hair, which is considered a terrible and humiliating experience for her people.
Step 2: The significance of the warning.
The warning highlights the cultural clash and the loss of identity that Native American children faced when forced to conform to the ways of the white settlers.
Step 3: Conclusion.
Thus, the terrible warning given to Zitkala-Sa by Judewin was about the traumatic experience of having her hair cut at the boarding school, symbolizing the loss of her cultural identity.
Final Answer: \[ \boxed{\text{The terrible warning given to Zitkala-Sa by Judewin was about the cutting of her hair at the boarding school, which symbolized the loss of her cultural identity.}} \]