I find that I agree with some/most of what's said here. Not that it's necessarily worth investing much time in the issue, but while we're talking about this, some popup saying "You recall the [last words of the dying sage | guidance of Khelavaster | whatever, depending on previous events relating to Khelavaster] and think you're supposed to safeguard this orb with your very life." or "You pick up the orb and get the feeling you're supposed hold on to it for dear life." or something similar could be a solution. (Maybe phrase it in a way that doesn't make the player think they have to actually carry all the orbs around with them, but rather emphasizes that they should keep them safe.) This could occur either the first time the player picks up any orb/the first time they pick up each of the orbs.
Another optional (and possibly additional to the previous one) compromise is to alert the player in a similar popup when they drop it for the first time anywhere or drop it for the first time in a specific, eventually potentially inaccessible location like: "You sense a feeling of loss as the orb's touch fades away from your skin. You should probably return to it later." and "As the orb leaves your hand, you get a bad feeling about this place. Maybe this wasn't such a good idea?"
These should be displayed not in every game, and not multiple times, but only when a player first performs one of these actions: 1. pick up a chaos orb; 2. drop/throw a chaos orb in a safe (as in not potentially inaccessible) place; 3. drop/throw a chaos orb in a place that can become inaccessible, e.g. pyramid, minotaur maze, Rolf's level etc. (for each of these levels display the message a single time for the player).
Whether these messages have already been displayed could be stored in some config file along with other global statistics (death count etc.), and therefore the messages would not pester experienced players, but really just provide "newbie hints". This would also be better in my opinion than flat out disallowing mainquest-failing actions. If a player really wishes to lose the orbs, let them. Granted, this would probably not be a popular course of action, but would be better from an immersion standpoint. (Again, I'm not saying valuable development time should be spent on implementing this at this very moment, there are still lots of actual bugs popping up, and this is probably going to be the case to a lesser degree for a while, after the larger public gets its hands on the new release.)