THE OFFICIAL BLOG OF THE SBS "DIVA"

The identity of the remote computer cannot be verified:
http://social.technet.microsoft.com/Forums/en-US/smallbusinessserver/thread/0525399b-c95f-47b2-84c8-df021d6cd949

You've all seen it since SBS 2003 era.

The very first time you connect to a RWW/RWA session you get this annoying yellow warning.  And for the bulk of us we just instruct the client to accept the cert and ignore it the next time.

But maybe you'd like to understand what it's doing and better yet how to get rid of it? 

http://weblogs.asp.net/owscott/archive/2006/11/10/Vista_2700_s-Remote-Desktop-Prompt.aspx
http://blogs.technet.com/b/askperf/archive/2008/09/23/unknown-publisher-where-did-this-dialog-box-come-from.aspx
http://blogs.technet.com/askperf/archive/2008/10/31/unknown-publisher-part-two.aspx

It's not quite as simple as you'd think because of the fact that the way RWW works is with a web based rdp connection.  On SBS 2011 the rdp file on the server is cert signed but the rdp file you reach though and get to on the workstation is not.  You will have to do a rdp cert signing on the workstation to get this to work.... or... tell your users the very first time they connect there will be this yellow box and they need to click the box to ignore it the next time.

That's probably going to be a lot faster than trying to get rdp certs deployed in a sbs network.

Hat tip to http://social.technet.microsoft.com/profile/mohitkapoor/ for that info.

But bottom line that very first yellow warning in your first rdp connection is normal and expected in the RDP 6.0 and later era.