Depending on the state you live in the only one who could trace the serial number to you would be the seller, if they even keep records of that. In PA muzzle loaders do not have to be shipped to a dealer, so the serial number is not associated with your name.
I don’t think that removing a warning would be against any federal law But who knows. The only way that I could see you getting in trouble is if you sold the gun to someone and they injured themselves or someone else by using smokeless powder. A lawyer would have a field day with that and you would probably be liable for damages. Depending on the severity of the injury, even up to death, it might then become a criminal offense not just a civil suit. But I’m no lawyer…
that aside, those letters are probably pretty deep. It would probably take considerable draw filing to remove them and then polishing to remove the filing marks. Unless you filed the whole length of the barrel and not just the letters…there would be an unsightly depression on the barrel.
Personally I would leave well enough alone.