Tested with gnupg 2.0.4.
Import a pkcs12 file with gpgsm in a terminal using pinentry-curses. You're
first asked for the passphrase of the pkcs12 file. OK. Then you're asked for a
new passphrase. If you enter a short passphrase (< 8 characters by default),
you get a warning dialog. If you choos "Take this one anyway", you're asked for
the passphrase again and warned again! There is no way to get it to accept the
short passphrase.
If you use e.g. pinentry-qt intead of pinentry-curses, the agent accepts the
short passphrase after the warning as expected.