In Firefox I set the security settings for my Cloud camera IPs (including my DCS-5020L) for "Always Allow" which reduces the number of nag messages. I still get at least one per camera, however, when the Live View page is refreshed.
The message in your second screenshot (http://sdrv.ms/Kwd64S ) should not come back if you set the security to "Always Allow". I haven't found a way to circumvent the first message.