You can purchase a SSL cert from many places for as low as $29 that will take the warning away, you need toset it up as CP SSL and protect the cp.yourdomain.com site with the Certificate.
not sure but i dont think you have to create a subdomain i thought you just login to the admin account and go to CP SSL. and then add the Key etc..
and select it.. then use https:servicedomain.com
i had some trouble with the CP and SSL for the CP when i first started, but i later realized that you really dont need to use the control panel in SSL mode unless you’re really paranoid. In either case, i had to have my certificate installed by opening a trouble ticket including my cert information.
I recommend GoDaddy 's SSL certs, if you’re sure you want to use the CP with SSL, otherwise, you can change the settings so that the control panel doesnt try to use SSL when you load it.