Did he start this warning in 33 CE?
Although I'm not a believer, I think this is a better interpretation of the Scriptures. Ray Franz makes this argument in his books quoting from Acts to show that Old Testament prophecies that JWs believe are having a modern-day fulfillment today were actually applied by Christ's disciples to the immediate post-Pentecost era, such as those prophecies pertaining to the pouring of the Holy Spirit and speaking in tongues.
This in not, however, how the Watchtower interprets things. They believe their religious group (specifically, the faithful and discreet slave "class") was selected to warn mankind about God's impending wrath. Presumably, this warning-work began back in Russell's time or else their interpretation begins to fall apart. If the preaching work didn't begin in Russell's time, then was Russell not God's chosen messenger? And if it did begin in Russell's time, why would God "warn" a bunch of people who would all, without exception, die before Armageddon? What purpose did the warning serve?
For instance, what good would it do me if someone warned me that my house would burn down...50 years after I die? According to Watchtower doctrine, the preaching work is supposed to serve the purpose of separating the wheat from the weeds in the last days in fulfillment of Jesus’ parable.