The reason for the warning is because the DoD intermediate and root certificate authorities (CAs) are not normally installed by default on operating systems and/or browsers. The exception is some versions of OS X, but not macOS, which had the DoD certificates (see
https://support.apple.com/en-us/HT202858) but still may have had the cross-certificate chaining issue. You can find certificate installation instructions at
https://iase.disa.mil/pki-pke/getting_started/Pages/index.aspx as a part of the installation instructions for CAC access. You only need to follow the portion of the instructions pertaining to the certificate installation for the operating system you're using (
https://iase.disa.mil/pki-pke/getting_started/Pages/windows.aspx for Windows,
https://iase.disa.mil/pki-pke/getting_started/Pages/cert-chaining.aspx for Mac, or
https://iase.disa.mil/pki-pke/getting_started/Pages/linux-firefox.aspx for Firefox on Linux). You can also see
https://iase.disa.mil/pki-pke/Pages/tools.aspx under Trust Store for the complete list of tools and installer. If you want to cross-check this information, see
https://www.nsa.gov/what-we-do/information-assurance/.
Note that you should take precautions when installing a root and/or intermediate CA, as you are telling your OS/browser to trust any certificate issued by that CA. Thus, as a best practice, you should only install certificates that you trust and ensure that you're installing them by accessing a site via https without certificate errors. You should also only do so on a network you trust (e.g., not a public network) and via either a wired connections or wireless encrypted with modern encryption (e.g., not WEP or other insecure methods).
-TN