It means they haven't had the holy water poured over them! Whoever produced the certificate, it not one of the major operators that charge ridiculous amounts of money for certificates that are automatically generated in milliseconds.
Next time you see the warning, opt to view the certificate and check it ties in with what you expect. Providing you're confident it's genuine, opt for "store a permanent exception" and Thunderbird will store the certificate and trouble you no more.
I get the same problem with people that use my email servers as I produce my own certificates. They are actually more secure than the majors, as the only person in the world that has the private key is me! Once I explain the issue, everyone is happy enough to store my certificate, which is essentially the same as you're about to do.