I'm not sure about the check marks. I haven't seen them before (we're now running 5.4.8). But when you scroll the category tree down to the bottom, you would see "Unrated" category group. You must have the default action "Warning" set. That's why you get the warning when you hit an unrated site. Change it "Allow".
Also I recommend enabling "Allow websites when a rating error occurs" option under Rating Options at the bottom of the webfilter profile.
