It is highly recommended that you install the NeoLoad certificate (follow message instructions) if you want to record secured https applications.
If the application (and sub-domains) are reached through http only, then you can ignore the message.
This message is displayed when the NeoLoad certificate has not been loaded in the browser. This is needed when recording HTTPS applications with NeoLoad even if it's not strictly mandatory but only recommended.
If you would like to record an HTTP application you can disregard that message otherwise please follow the procedure described in that message and you should be all set.