This one had me puzzled for a bit (SAS 9.2, Windows 2008, SQLNCLI10.1, OLEDB):

WARNING: The current setting of the DIRECT_EXE libname option will not allow this SQL statement to be passed directly to the DBMS for processing.

Explicitly setting the DIRECT_EXE option to DELETE had no effect.  Assigning the library in a new session, and performing the update also worked fine.  Thankfully the SYSCC variable was not affected, so jobs / processes continued to run, but still…

Anyways, it turned out this was actually caused by the SASTRACE option!  Turning this OFF removed the warning.