I think I have a better idea: goals should derail if you never enter any data. Sort of like pessimistic presumptive reports but for all goals. Premium users should probably be able to turn it off, but not new users.
This forces users to actually pay attention to the goal. By doing that, it also creates a touch point where you can suggest that they change their road – not just away from zero, but potentially other suggestions, like noticing that a goal appears to be too easy or way too hard. (You should probably be able to turn those off too though; maybe you want this particular goal to be very easy, or it guesses wrong about how hard it is for some idiosyncratic reason.)
Anyway, as a moderately advanced user, I find the goal creation process pretty laborious. My preferred goal creation process would actually be nothing but name the goal and choose whether I want autodata or not, and then Beeminder creates a zero road, turns on custom for me, and dumps me into the road editor. Yes, seriously. This error message was just one more hurdle to actually setting up my goal the way I wanted it.