I recently heard or read somewhere (can't recall the source...doh) that if you answer 'Yes' to that question, not only will you be switched to plain HTTP for your current session, but for all future sessions as well.
EDIT: here's a reasonable source on F-Secure's blog: http://www.f-secure.com/weblog/archives/00002106.html
"Switch to regular connection (http)? Sorry! We can't display this content while you're viewing Facebook over a secure connection (https). To use this app, you'll need to switch to a regular connection (http)."