There are a few ways to handle this, you could get all secure and stuff by creating a self-signed certificate and follow the Directions(for once) to install the cert on the connection broker.

Or you have 3 options to "work around" this new feature, Group Policy, Registry Keys, or modify your ThinApp. 

Group Policy 

If your client machines are part of your domain, you can use the .adm template located at 

%programfiles%\vmware\VMware View\Server\extras\GroupPolicyFiles\vdm_client.adm 

import that into a new GPO and under Computer Configuration\Administrative Templates\Classic Administrative Templates(ADM)\VMware View Client Configuration\Security Settings change the Certificate Verification Mode setting to "No Security" 

BTW the default is "Warn But Allow" this gives the prompt above. You can set it to "Full Security" and this will prevent the user from connecting to a connection broker with an invalid certificate. 

Registry Settings

Your client machines are not part of your domain you say? You can change add this setting to the registry HKLM\Software\Policies\VMware, Inc.\Vmware VDM\Client\Security add a String value with the name "CertCheckMode" and choose your value below

0 = No Security

1 = Warn But Allow 

2 = Full Security

ThinApp

Your View Client is ThinApped you say? Well you need to add the following keys to the HKEY_LOCAL_MACHINE.txt

Once you rebuild the ThinApp your users will no longer see the prompt. 

Well when you package IE the little ThinApp pop-up (that you are not allowed to turn off for "legal" reasons) shows "Internet Explorer" and not the name of the web app "Just Cuz I Can"  

So to change that to the web app name "Just Cuz I Can" you add a parameter in the entry point section of the Package.ini for that app called StatusBarDisplayName=Just Cuz I Can  like in the picture below 

Now once you rebuild you get this for the pop-up (that you can't remove)

Thanks to Coby Gurr and Dean Flaming from VMware for the tip.