In this case, your client is not validating the server. To prevent man in the middle attacks, mutual verification is required, that is, you authenticate yourself to the server (you probably have either certificates or username and password), and your client automatically validates identity of the server.
Just connecting to specific address is not enough to actually authenticate the server.
To fix this, refer to linked documentation from the warning message. To validate the identity of the server, you need CA certificate that was used to sign server's certificate. If the VPN server is maintained by someone else, you should ask them. After getting appropriate CA file, add
ca path/to/ca.crt directive to your configuration file.
Many will hate me for saying this, but often fixing that warning is not important. It really boils down to why you use VPN. If it is to provide little additional privacy when using public wifi, there's really high chance it does not matter. If everything you run over VPN is encrypted (e.g ssh and HTTPS), MitM could be nuisance and security risk, but not a dealbreaker.
If you do something that requires high confidentiality and integrity, you definitely should fix this, especially if that activity is unencrypted (e.g HTTP, IMAP, telnet).