I had those issues on machines that have time settings wrong.
With current nxfilter you can have port 443 enabled in the settings, but this still sometimes gives ssl warnings.
Changing the port to 4433 (or whatever) will stop all ssl warnings, but this slows down browsing a little as the browser is waiting for the timeout requesting the redicrected blocked paged (not served on 443 anymore)
But this definitly stops all ssl warnings on the client.
Self signed ssl will never help as there is no valid root or trusted certificate.
With self signed cert you also need a trused root certificate.
On all clients you need to import both.
Only way of setting this up centraly without having to manualy go to all machines is requesting a real ssl certificate
Move nxfilter cfg to port 4433 (or whatever)
Install apache and have it serve ssl pages on 443. Copy the pages from the NXfilter webapp folder into your apache folder.
Request a "real "ssl certificate. There is free services that supply a real ssl.
You need a real domain name.
Search google for ssl for free