It means your cable box doesn't allow simultaneous output of component while you have an hdmi cable connected.
It's a limitation of the cable box and NOT the slingbox.
To correct this issue, simply disconnect the hdmi cable and connect as follows:
Component video (and audio) out of the cable box to the input on your slingbox. Use the component video and audio passthough(s) to connect your slingbox to your TV or A/V Receiver as the case may be in oyur specific setup.
I have one more question about this alert. I do not get the alert when I test the setup at home connected to my wireless network. But when I try to acces remotely I get the alert. Is there some reason why being on the same network would allow it to work, and being on a separate network would cause the alert?