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Of course, the problem with the gamut warning from Adobe has always been that it's an on or off thing. It never tells you how far out of gamut a particular color might be, only that it is. For that reason alone, the gamut warnings are pretty much useless, but back in the dark ages of Photoshop, that's all they had and they kept it.
If you have good quality profiles - and that IS the key - then soft proofing is not a big deal at all. The quality of the profile and which application built it, in conjunction with the chosen rendering intent plays a huge part in both the soft proof and the final print.
For most prints, a small to moderate amount of out of gamut colors are of simply no consequence. Use Relative Colorimetric in converting to profile and you'll be fine. The out of gamut colors get clipped and you never even know it.
For areas that are much farther out of gamut, Perceptual rendering intent will sometimes give a better result, compressing all the colors in an effort to maintain separation between them. Less accurate, but often more pleasing.
If you do have access to real output profiles and have Photoshop instead of Lightroom, then you can use the Convert to Profile command and your Info Palette to read the actual RGB pixel values to see just when and where you're going to have a problem, and how big that problem might be. As soon as the pixel values in the converted file start hitting close to 255, you're going to be running out of gamut.
Most online printing services that cater to consumers assume every file they get is going to be sRGB. That's not the same as their printers BEING sRGB. They're not. They just assume every file is sRGB and their printing software makes an automatic conversion to their internal (and often never accessible) paper profile. You, the consumer, unfortunately, never have any control over silly things like rendering intent and have to rely on crude moves like desaturation. But that's the price you pay for 9 cent prints. And unfortunately, even the much maligned sRGB color space is far too large for RA-4 chemical printers and papers that many labs use.