why does the https warning show when block page is enabled?

From my understanding it's needed for your browser / device to trust the blockpage, when the website is trusted the warning is removed. Someone probably can explain a lot better and more in depth.

Also a quote I copied to hopefully get you a better understanding of why its needed. 

"The root certificate is created and issued by the CA. The purpose of the root certificate is simply to allow other devices to guarantee the authenticity of the two other types of certificates that the CA may issue"

Basically the certificate is needed for the chain to complete, the website has its own certificate that is checked and trusted by the root certificate and you get access otherwise it doesn't work.