Mac always warns "You can't undo this action" and skips the Trash when deleting a file

It is what will always happen on any drive that the Finder cannot create a .trash folder. This is the same with written CDs, read-only USBs, most network shares (if you write to the root folder, it'll make a trash folder).

As it is happening on your own hard drive, it may be that you no longer own the Trash folder. This command will make your user account take ownership of it.

'sudo chown youruser ~/.Trash'