This is a standard JAVA security warning for unsigned applets and not related to the certificate set up at all. The changes have been introduced by Oracle with Java 7 update 21. According to Oracle
The changes in Java 7u21 are intended to increase security for the end user by encouraging application developers and vendors to identify their applications using a digital certificate issued by a Certificate Authority.
However signing an app is not allways the better approach, as then the app may be able to access data, it was not able to when it was unsigned.
Regards,
Patrick