That Content Protection message is coming directly from your cable/satellite company. From your post, it appears you do have component/composite going from your set top box to your Slingbox; but do you have an HDMI cable running from your set top box to your TV? If so, this would explain why you are still seeing the message.
I wouldn't say that these protections are new, they have been around for quite a long time, but they have expanded quite a bit in the last few years. They are called HDCP and SOC and are softwares installed in the set top box by the TV Provider to prevent the download and distribution of the content; they are activated when the set top box can detect an HDMI cable and a second source (generally component/composite, of course). A good portion of the time, you wouldn't see this at home because you're on your home network and the signal does not leave the Local Area Network.
The FCC has put out a mandate that all providers need to be within strict compliance regulations of these softwares by the end of the year, so they are cropping up more and more as time goes by.
If you do have that HDMI cable running from the set top box to your TV, removing this and then unplugging the set top box for about 10 seconds will give you back the video on your Slingbox; in this situation you can not plug the HDMI cable back in and would instead run another set of component cables from your Slingbox outputs and into the TV. There are other ways around this as well; including using an HDMI Splitter/Adapter with HDCP bypass, which would run in the middle of the cabling.
I've linked a few articles below as well, that go over the HDCP/SOC software as well as the Adapter setup:
- Slingbox.com - I get no video with any SlingPlayer (Watch, Windows, or Mac OS)
- Slingbox.com - How audio and video passthrough works on your Slingbox
- Slingbox.com - An HDMI-to-component adapter that you can use
Please let us know if this helps or you have any other questions.