He did mean individual states and yes, he does warn before attacks. Each of his messages are warnings of attacks if the message is not heeded. For example, Europe was warned in messages before the Madrid bombings. He warned the US for years before 9/11 but no one was listening.
I don't remember any warnings before Madrid, but you may be right. However, I don't count spending 8 years ranting about the U.S. prior to 9/11 being a "warning."