Conceptually, "THIS EMAIL IS FROM AN EXTERNAL SENDER" warnings should be useful at preventing phishing or spoofing attacks. If "your boss" asks you to buy a bunch of gift cards and you see that warning, maybe you catch it.
With so many legitimate external emails received, I'd imagine users may get a sort of banner blindness and not even see them, reducing the effectiveness of the warning.
Is there any data-backed research that shows the effectiveness of external sender warnings?