In some cases it's obvious that an anthology or magazine isn't particularly suitable for children. From my own shelves I would mention Extreme Zombies, Future Lovecraft and Zombiality. And, of course, many readers out there have "adult" anthologies on their shelves (or, more likely these days, their e-readers).
In other cases it may not be as obvious. Or it might be that some stories in a volume are suitable and others are not. Editors might, in this case, choose to attach a warning to a particular story.
Here's the problem. These warnings can be subjective. The problem is in the definition of adult material itself. Some things, like those anthologies, are obvious. Somebody being tortured to death in splatterpunk? "Adult." Lovingly described sexual intercourse? "Adult." But what about promotion of drug use? I'm reading a book right now with a heck of a lot of drug use in it (Will be reviewed next week). It doesn't carry a warning specifically, but the blurbs definitely hint at the content.
And here's the real rub. Adult warnings are often put on stories that contain "sweet" same sex material. Of course, it can be hard to tell - the specific story I'm thinking about also had drug use, so was that what they meant? However, it's often the case that "adult material" for male/female starts at "full description of intercourse" but for male/male it starts at "their lips touch." (Female/female tends to fall somewhere between the two). It's an area where we still aren't "there" yet. A long way from "there," in fact.