The following is how to get around the message:
From the 0.9.x revision of the network manager.
It is a fairly simple fix that simply involves creating a configuration file. Crack open your terminal emulator of choice and run:
sudo nano /etc/polkit-1/localauthority/50-local.d/org.freedesktop.NetworkManager.pkla
For the contents of this file simply paste this and then save+close the file.
Note if your user will need to be part of the netdev group for that code to function (if you don't have a netdev group, any group your user is a part of will work). To check the groups your current user is in simply run groups myusername in terminal (replace myusername with the name of your user clearly).