Fixed - PPPoE was needed - this way I connect through the Router and force the Modem to act as a bridge.
Using Automated DHCP I connected through the Modem and the Router only managed the DHCP - my Westell Modem does NOT allow me to bridge connections.
This is my theory anyway. I switched to PPPoE and when re-visiting Sling Setup it picked up my IP (192.168.0.1) and Gateway (192.168.0.254) automically and connected immediately with no more internet viewing warning. Now I am once again a happy iPhone Sling user.