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When should users be notified of a pending password expiration

Like many, I am required to change my password periodically. When it is about to expire, I am notified on the logon screen (I connect via VPN), but this notification begins two weeks (14 days) before my password will expire. Additionally, this notification consists of: "Your password will expire in nnn days. Click here to continue".

I find this somewhat intrusive, especially the "click here to continue". Is there a reason for this that I am not considering? Why is notification required at all other than after my password has actually expired?