I like that :) I was trying to work out how to switch off the warning I get when I log in to Gnome: "You're logging in as a privileged user. That's bad!" To which I always mutter, "yes, I've been doing it for 15 years and nobody died yet." But there's no way to switch it off. So another window manager might be the best way to go...
The point here is not whether "you" know better than the desktop software does whether or not what you are doing is "safe". The point is that no one does: 2-300 people, or more, were involved in writing the software you're about to run as root. It's a huge amount of code, and no one can even pretend to have audited all of it for security issues. And, in point of fact, vulnerabilities are discovered in this stuff all the time.
Running that stuff as root is just dumb. If linux attracted even a tenth as much attention from black hats as does windows, and you did anything non-trivial (e.g. surfing) with that box, you would be more or less guaranteed to see it rooted at some point. So the desktop developers, being responsible about this stuff, are trying to warn you. You are just choosing not to listen.
Mostly I'm running terminal - X just lets me get more characters on the screen than using a plain old tty. In truth, I don't use it for much other than that, and it's a pain having to type in "sudo" and my password all the time.
On a broader point, Linux was never about hectoring users about how to run their computers. That, I thought, was the entire point of a free/libre OS: the freedom to shoot myself in the foot if I choose. (Oh, and do lots of other interesting things too, but foot-shooting is my priority here.)
I switched to xfce. Much faster, less clutter, no lecture when I log in as root.