The expressions 'Check to your King' and 'Guard your Queen' were used
500 years ago, after the Queen had turned into the most powerful piece on
the board. Also, there was probably some idea of being polite to royalty,
or whatever. I have not heard of any master warning of an attack on a
Queen in the last 100 years. Nowadays you are expected to announce
checkmate, and especially stalemate (which players often miss).