GPG works on “web of trust”. It gives that warning whenever you check the signature with a key that you don't trust, or that people you trust don't trust. The default for key imports is untrusted. The only way for a key to go from untrusted to trusted is if you explicitly extend trust, or if one of your trusted keys extends trust.
To make it go away, trust the key. Determining if you SHOULD trust the key is a longer subject.