This has not been fixed. The only warning you get is when you enter the Embassy through the front gate or after you complete the Missing Train mission and the Major (or whomever it is that runs the Southern Rail Outpost) sends you to meet with the ambassador. I made the same mistake on v1.0+.
Personally, I think the whole "unequip your weapons" thing is kinda stupid anyway. It's annoying, results in combat with no warning (and sometimes no understanding of why), and any psi-heavy build doesn't even need weapons equipped, so it even fails in the lore attempt to disarm a potentially dangerous person.
