Thanks James.
I just did that and it is kind of of sorted.
The issue is that the site is on a temporary url whilst in development.
When it is finished I had planned to point it to the correct domain.
Although the host (HostGator) has now white-listed the site they say that I will stop seeing the message only when I migrated the site.
The message still appears and it is annoying as it stops me from installing new plugins and therefore finishing the site. Catch 22…
I guess that I will have to migrate it unfinished, not a great solution.