Some FTPS clients will pop up with an Unknown certificate window when you are connecting using the FTPS settings. This is an expected behavior, and is not anything to be alarmed about. In some clients, you may be able to check a box to always trust the certificate. Once you check that box, you will no longer get the warning in subsequent connections.
If your FTPS client does not have a check box to trust the certificate, you will need to OK the connection each time you connect using your FTPS settings.