This is not a 'problem' and although you may find it annoying, it's really no big deal.
The message is generated by your web browser, and all browsers generate this message whenever the browser cannot create a secure connection to a website.
Your router doesn't run Windows, so it can't communicate with your PC through the operating system. Instead, it uses HTML, because HTML is a common language for creating interfaces understood by all operating systems. HTML runs in a browser, which is why your computer communicates with your router through a web browser.
The link between your computer and your router is not secured because it doesn't need to be, because your computer doesn't communicate with your router over the Internet, so why add on the extra software to secure the connection. But this means that your browser will generate that standard message about not having a secure connection.
That's all it is. Not a problem. Browsers could be coded to avoid generating the message in this circumstance, where it's not needed, but people working with their router's firmware already understand this so why add more code, which gives more things that can go wrong.