There are two out of gamut warnings in LR4, one useful, one less so.
The OOG warning on the left tells you how OOG the image is compared to your display. I think that is kind of useful, it sure illustrates the differences working in an sRGB-like display and a wide gamut display. It can also help you keep a firm hand on the Vibrance or Saturation slider from going overboard.
The other OOG warning on the right shows you what is out of gamut compared to the profile you load. So like Photoshop, you get a large, ugly overlay and as Marlyn has stated, it treats a color a tiny bit OOG and one way the heck out the same. When you examine a 3D map of the image gamut in something like ColorThink compared to the output profile, the story is far clearer. But of course that isn’t a tool many would use and it is kind of useless for editing an image.
The idea of the OOG overlay in Photoshop predates it’s use of ICC profiles in Photoshop 5 back in 1998. The idea at the time was, look, your RGB image has all these out of gamut colors compared to the CMYK conversion mode, take the sponge tool or Hue/Sat and make that go away so your image is ‘in gamut’. Talk about a crude tool and workflow!
I saw a video yesterday where the OOG overlay was shown in LR4 and HSL was used to treat this area so it went away. But I don’t really see the point. Our output profiles will do this when we convert to the newer, smaller color space. For LUT based profiles, we have options in rendering intent and a good Perceptual intent will take OOG and in gamut colors into consideration when making the adjustment so to speak. I suppose for a few, very problematic images, you might want to try the HLS or similar route but man, that is a slow way to work and I have to wonder what the net results will be after you convert (which you have to do anyway right?).
A user setting for dE of out of gamut would be a bit more useful. ColorThink provides this. But talk about complexity for little use. The user has to be able to scale this dE coloring. And I suspect seeing 2 or 3 different colors overlaid would look kind of confusing. In the end, soft proof the image with the output profile and intent you intend to use. Edit if necessary.