That's actually quite normal. Rather, it's a misguided warning more than anything, and you're the only one who will see it/
When you connect to your Dashboard over an HTTPS connection, we use an SSL certificate to encrypt your connection. SSL certificates need to be signed to a specific domain, and we can't provide certificates for every mapped domain, so our certificate is signed for WordPress.com.
When you connect to your Dashboard via your own domain but your security software sees a certificate signed to http://wordpress.com/ it's altering you that WordPress.com may be intercepting your connection, which of course is perfectly fine.
Most security systems like this should have a way to add a permanent exception so you will never see the warning again in this instance.