Two separate issues
It sounds like you have a self signed cert
for both your Domino and Connections server.
The Connections gadgets that you render
in Notes or iNotes it will make requests through Java servlets running
on the Domino server to the Connections server over https. Since
the Connections server is using a self signed cert it needs to be imported
into the JVM of the Domino server or else the JVM will not allow the Java
servlets to make the request.
The fact that you imported the Connections
certificate into the Domino JVM has no effect on the warning dialog you
see in the Notes client. I can't tell from the dialog which cert
the dialog is warning you about (either Domino or Connections) but that
is not important. The warning is normal for browsers when you navigate
to a page that is using a self signed cert, Chrome, IE, and Firefox all
behave the same. Once you accept the cert you won't see the warning
dialog again until you clear the browsers cache in Notes.