I'm guessing you are using the self signed certificate then. You still get a warning because the common name (CN) in the certificate is different then what you are connecting to from the outside.
Like if you conntect to remote.domain.com rom the outside and the CN in the certificate is something like "netbios-domainname". This is normal behaviour.
Two ways to fix it make sure that the CN in cert is the same as what you use to connect from the outside by running the internet address wizard on the sbs console. Or buy a signed certificate and install that on the SBS server. Which i strongly advice you to do there are very cheap these days (godaddy.com for instance)
