So I did.
And this is the report I got back:
Thanks for sending a report to Google. Now that you've done your good deed for the day, feel free to:
I'm going to go for option 1. Feel my merry rejoicing!! :-)
I think this will probably be a good thing - after all, I would have no idea who to report a phishing site to if I found one, and this way, I should be protected if I stumble across one, with a clear process for getting a wrongly identified site removed from the list.
I also like the fact that it's not forcing you to leave a site - it allows you the option of continuing with what you were doing, instead of treating you like a child and enforcing its guidance...