all cellphones do this. Carriers just choose to disable the warning so it doesnt annoy the user. Users like dodgter for example!
And no, there is no secure connection, if your antenna is not using encrypted GSM (not sure about CDMA), there is nothing you can do to prevent it. Turn your phone off. walk a couple of blocks and do the call from there!
That would annoy the hell out of me. The first thing I would do is turn that feature off. I just want to make a friggen call by pushing the fewest commands possible