I believe the notification is expected. Does the policy you are using have the "Auditing" feature enabled. I know that if this is enabled a message is displayed informing users that their actions (i.e. viewing the doc, printing the doc etc) will be tracked and sent back to the server. The message is required for "privacy" requirements.
Also, I'm taking an educated guess here but the version of Reader may be a cause. Maybe different versions handle the dialogs differently.
Regards
Steve