You have to turn your TV on. With the television turned off, the HD cablebox believes there is an HD signal input problem to the TV. The cablebox then outputs the error message because it thinks you have connected a non-compliant TV screen. Normally when you turn on the TV this message disappears before you ever even knew it was there, however, with the slingbox you are seeing the error message coming from the cablebox that will disappear the moment the TV comes on.
The only work around I know at the moment is to connect the cablebox and TV via another method such as component or coax. Then the HD signal error message will not appear.