Like Boink said, the warnings are real, not just to keep companies in business.
There are thousands of people going to ERs every year with things "accidentally" stuck in their bottoms, that need to be removed with tools only hospitals have.
The lower bowel has several reflexes, one of them to prevent you from... shitting your pants. That reflex causes a reverse of the muscles propelling stool forward, if, for instance, you can't get into a bathroom as soon as you feel the need to. (Although for your health, you should go when you need to.) This reflex will work on other things and actually pull the unsafe object into the rectum, where it may or may not be retrievable by home means.
Well made anal specific toys aren't that expensive. You can get a nice butt plug or a nice probe for under $20.00. I wouldn't take a chance on anything other than a real, made for anal play toy!