What appears to be happening here is this is gmail's way of warning you that the email sent through MM didn't come from the gmail server. This is correct it didn't, it came from the MM server. MM allows you to specify a return address of your choice for messages sent through the MM system, but since these emails are sent from a server that's not your own email server some email systems may show a warning like this.
There may be a setting in gmail (or others) email systems that will remove this warning, but I don't know for sure. Someone with more gmail experience might know.
Another option is to use a non-gmail return address for your messages. The return address can be in two places: 1. On the Messages screen and in the Configuration screen.
Not much we can do on the MM side, and if we could make this message go away so could real spammers