I've recently purchased this powder after having a small sample of Bhut Jolikia (ghost) powder previously in a miniature powder selection received as a gift (that one didn't come with this warning). This one has this warning on the back of the packet: "Must be cooked before eating".
Is this warning just there to ward off carelessness with this very seriously hot powder? Or would there be an actual reason this powder must be part of some cooking process?
The ingredient list is really short, so I guess it's just dried and ground up Bhut Jolokia peppers. I could imagine that if you were to take this fine powder "raw", it could go into your airways after triggering a cough response because of the intense spiciness. That could lead to respiratory problems. If you dissolve it in e.g. curry or chili, this won't happen.
In addition to John W.'s answer, this warning is probably a Food Safety Requirement.
Spices can be surprisingly potent source of salmonella poisoning if not pasteurized at commercial level. FDA found that "nearly 7 percent of spice imports examined by federal inspectors were contaminated with salmonella, a toxic bacteria that can cause severe illness in humans". Here is another example from UK where a particular supplier had to recall a chilli pepper brand because of the presence of salmonella.
When cooked (heating it thoroughly) as it is typical in asian style cuisine, these contaminated spices will present fewer problems.
