Thanks sicelo and pali for the explanation, it is now (a little) more clear to me. But I will have one question.

Is it possible for me to accept that certificate and have it in the N900 for the other times I connect to my ISP wifi network?
What I mean is that for https for instance, when I use a self signed certificate I can store it so the next time I'm visiting the website it is trusted. The same thing happened when my mail provider changed his smtps and imaps certificates and I had to manually accept then in Modest to connect securely. The next time I checked my mails there wasn't any warning.

But in this case there is no dialog box asking to accept the certificate, it simply says :

And all I can do is press "Done" to connect.

So is there a possibility to accept that certificate?