I'd guess that's an indication from the browser of an improperly chained server certificate--not an issue with some of the content being served from an external domain.
If you use a cert issued by a cert authority that the browser already has installed by default, the warning won't appear. Or if you have control over the client browser(s), you could install the root cert and the cert would be accepted. For a CA issued cert you may need to configure LTM to send a chain cert which ties the server cert to a root cert in the browser.
Aaron