When copying a sales order or converting a quote to a Sales order, the warning "xxx is on credit hold. Do you still wish to proceed entering the order" does not pop up. In SO-A and SO-P-A, it pops up as soon as you leave the customer code field.  
 
I would also like to see it come up any time a sales order is opened, not only on creation. Sometimes customers are placed on hold between the time the order is entered and when it ships.