We’re currently looking into this. Internal testing on the live servers show that the game should have an error if you try to enter with a non-faction colored team (which is Green/ Yellow for The Warrens).
UPDATE: We’ve pushed a fix for the Delve event out to all servers. You will need to close the game completely and restart it to see the Faction restrictions working correctly.
You should not have lost any Sigils due to the error message received during this period.
You would have needed to completely close/force quit and reopen the game. As long as you did at least an hour after Nimhain’s message it should have resolved.