Authentication via the CalNet proxy server is a complex process, involving several redirections of your browser between the proxy server and the campus authentication server, which use different security protocols. If your browser is set to warn you upon entering or leaving a secure environment, you may see such a warning when going through the steps of this process.
You do not need to worry about these messages. The only exchange of confidential information takes place when you enter your CalNet ID and passphrase, and that exchange is encrypted and highly secure. Your ID and passphrase are seen only by the campus's authentication server and are not transmitted back over the Internet, so your confidential information cannot be observed by any unauthorized third party.
You may be able to change your browser's security settings to eliminate these warning messages. However, please read the browser's help documentation carefully to make sure you understand the implications of this change.