You can press enter or click outside of the selection before changing keyframes and it will apply the transformation. There is no way to automatically apply the transformation and there may not ever be such a feature for bitmap layers.
The reason that the program warns you and explicitly asks you every time is because applying a transformation that involves rotation or scaling to a bitmap image is a lossy transformation. That means that each time you do it, the quality of your image will be degraded more and more. Until you apply a transformation, further transformations can be performed based on the original image quality, not on the current/applied transformation’s quality.
The fact that the warning does not come up when using the shortcuts is a known issue with the latest stable release and is neither intentional nor desirable.