Ok, suppose you're running a game with some sort of 'morality' mechanic, such as WoD's Morality, D&D's alignments and code of conducts, or L5R's Honor. And suppose I'm about to do something that is going to have repercussions for me.
Tell me, "You know, if you do that, you'll lose whatever."
The reasons for this are twofold:
The first is a matter of Rules Transparency: Interpretations of rules differ. If I think the ends justify the means and you don't (and my old GM agreed with me), and I get slapped with losing my Good alignment for poisioning the orcs water supply or lying to the corrupt guards, I'm going to get a little twerked off.
In games with mechanics like these, morality isn't subjective. The universe has an objective right and wrong, and those rules, like all other rules, are determined by the GM. I've got no problem with you telling me what the moral code is, but don't hide it from me. It would be like not telling me what the damage dice for weapons are if I'm playing a fighter. Would you expect me to choose my character's combat style based on that?
The second is a matter of Important Decisions. If you tell me that, for instance, using my rights as a magistrate for personal benefit will cause an honor loss in situation X, that decision suddenly has 'teeth.' It's an important decision. Before I knew that, I didn't necessarily have any information about the possible moral costs of the action. If I end up going ahead and using my powers for personal benefit anyway, we learn something about the character, and the honor loss has real meaning. If I don't abuse my powers, we learn something else about the character. This way, the honor value isn't just a number on the character's sheet that goes up and down by the whims of the GM. It's a real measure of the character's moral fiber, which is what I suspect it's supposed to be.