I have a similar but somewhat different experience: The message I get is
Do you want the application JLink.app to accept incoming network connections?
and when I click ok it goes away. As in your case, I see it some times but not always (today I got this message upon first launch of mathematica after system power up -- not sure if it happens that way every time) and only on my office computer. It sounds to me like some firewall setting but I really don't know. On my home laptop, connected to my wireless network, I don't recall having seen this message.
I am under Mac OS 10.7.1
{"8.0 for Mac OS X x86 (64-bit) (February 24, 2011)", 1, "L2976-7825"}
Themis