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Xperia Z5 compact.
The warning that usually comes when you try to turn up the volumen to high, have suddenly disappeared from my phone. Don't recall that I have disabled this.
Also, separate volume control for headpone (wired) and bluetooth are missing (don't remember if they have been missing all the time or if that is a feature for Lollipop).
How do I get that warning back?
Have u seen if u disabled something like that ?
Everything is ok on my Z5 at regard ...
But I think it's happening with some headphones not Sony branded
At example :
Now with my AKG, I pumped up the volume and there was no warning about, but with Sony headphone it seems to work
But I think, especially that this warning comes alive when u are in "Music" or "Video", SONY APP, and not on Soundcloud et similia at example ..
Try yourself on this last stage 
It's not possible to disable the warning when listening to high volumes but how and when you get the warning also depends on where the phone was bought since it's market/region dependent.
Looking at your account, i believe you are in the nordics so if you bought your phone there it will follow the european standard EN 50332-2. This means your phone will display a popup window with a warning every 20 hours when you listen to music louder than 85dB with headphones or earphones. The warning does not affect bluetooth accessories.
To adjust the bluetooth volume, you need to be connected to the bluetooth accessory. As i understand it, the bluetoth volume is also linked with the accessory since Android 4.4.
So, if I understand you correctly, I should receive a warning within the next 20 hours and I must have ignored the warning within the past 20 hours?
I will wait till tomorrow then and see if it goes away. BTW I restarted the device to see if that helped, but it didn't.
It depends on the volume and what output (bluetooth, aux, headphones) you use. But yes, after playing music for 20h with headphones/eraphones at a volume of above 85dB you will get the warning again.
These warnings can't be turned off so it's not a setting you've changed.
Ok, more than 20 hours have parsed and I have still not seen the warning even though I push the volume to the max (with a wired headphone).
So something else is up.
As i understand it, this is based on the actual dB so the volume of the songs will affect how often you get this message.
But the phone is bought in Europe? If you bought it from another region it may have different/no warnings.
The warning have worked at one point if I recall correctly. Or rather, it was impossible to turn up the volume beyond a treshhold while the screen was off (just as it should).
Bought from a danish retailer. Is there any way I can find out which rules the phone adhere to?
If you open the dialer and dial *#*#7378423#*#* and then select Service info -> Software info, what do you have as customization version?
I get this:
Customization Version:
1298-7782_R16B