At least once a week I have to tell someone they should always select the part they're machining in the setup. Selecting the model is probably the most important selection when you create a setup so I think if you click OK without a model selected you should get a warning.

Also there should be one of the yellow warning triangles next to the setup like the one in this image.

The warning could be something like. If you are using 3d operations or there is more than one body in your design you could get unexpected results.
Mark