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Hmm, I didn't realize this was happening and don't see it on my site. Maybe it's something that was fixed?
You will only see the privacy warning with certain browsers and settings. I don't see it in FireFox but do see it in IE 6.0 with privacy setting at medium.
PK, I do see the privacy eye warning on the bottom of your site.
I am not sure it is a big deal since most will probably not even notice it. It just bothered me so I was glad to figure out how to make it go away.