The warning is just your browser letting you know the SSL certificate is not signed by a Certificate Authority (CA) such as DigiCert, GoDaddy, etc. You would create a Certificate Signing Request (CSR) on the SMG and provide that file to a CA, then they will creat ethe certificate for you and they will be verifying the identity of your SMG so your browser does not show any error, just like when you visit other HTTPS sites that are validated by a CA.
https://support.symantec.com/en_US/article.TECH188142.html