Wasn't expected that the program didn't run and show me the exact same message as when doing rebuild?
No.
Run = Run a previously compiled program.
Build = Compile all files that have changed in their sources or new files that haven't been compiled at all.
Build + Run = Combination of above.
Re-Build = Remove all previously compiled files and re-build them all.
You'll see compiler warnings only when you compile a file.
So if you hit just run there is no build at all. If you hit build and you didn't change the source file which causes the warning you won't see it again until you either change the source code or hit re-build.
It's by design and pretty much the same for every IDE.