The reason for that warning is the fact that when you add a certificate that is not trusted by Android, it goes into the personal cert store. When you add a cert in the personal cert store, the system requires a higher security level to unlock the device. hence the warning and pin/password nag.

But if you manage to add your cert to the global system store then Android will not issue any warning. Here's how to do it:

1 - add your cert normally, it will be stored in your personal store and Android will ask you a pin/password.

2 - With a file manager which has root access, browse to /data/misc/keychain/cacerts-added. You should see a file there. This is the certificate you just added at step 1.

3 - Move this file to /system/etc/security/cacerts

4 - Reboot the phone

5 - Now you can clear the pin/password you have set to unlock the device and there are no warnings.

I won't recommend doing this blindly as by doing this, you are actually man-in-the-middling yourself. But if you know what you are doing, this is the way.