This is a case of being careful what you ask for. Samuel tries to warn off the decision to put the people's security in the hands of a man instead of leaving it with God. Sure Israel now has a history of being raided, captured or oppressed every 40 to 100 or so years, but they are not looking for the reason. They don't see the loss of freedom as a reprimand or reminder to return to faith in God, but instead the way of the world. They see it as man's fault, but of course, not their own. How many people today turn to government when they should turn to God?
Also, notice Saul is from Benjamin, the tribe that was decimated by the other tribes. God often chooses differently than society would dictate, something about "the cornerstone that the builder rejected."