I have answered this problem so many times in these years but I don't mind explaining it again & again
I would also like to mention that this not the problem with Plesk but you will get this warning even if you access the secure cPanel ports that is 2083 and 2087.
Ok here is how its:
Control panels assign a certificate to the hostname of the server and they are self assigned certificates and not from the an authorized company. However even if you install the certificate you will still get a warning because we are use to access the control panel either with the domain or the IP address but never with the hostname.
As Flesso & David said.. there is nothing to worry about the warning since the data is still encrypted.