And since Malicious Softwares are useless to end-users and even might be harmful for them, why doesn't an antivirus at least warn a user before anything happens to their system?
I fully agree that it is useless. But don't forget that the first line of defense is not a piece of software/hardware, but the user. More knowledge about how a system works will lead to less infected systems.

Personally I don’t run any as-/spyware remover on any of my systems. Still I know for sure that they are clean. And I only use common sense and my knowledge. Sure, not everyone has the experience and knowledge I have. And many people coulod use a little help from a piece of software, but they still need knowledge about the system. Without that, they will not be able to configure everything correctly and still get infected.