I did not have to do anything. All I did was to wait one day. One day because I checked it the next day. This may not be the exact time required for changes to take effect.
However, if the problem does not go away automatically as in my case, I would like to highlight solutions from couple comments above (because someone once told me many readers don't read comments here on SO).
Comment by @mehulmpt
instead of doing it from the settings, maybe in the template you can add: location.href = " http://yoursite.com "; just after
Comment by @Prayag Verma
As the custom domain is not hosted on Blogger, this warning will keep on showing. A much better way would be to unlink the domain from the dashboard & then implement what @mehulmpt suggested. Also, the SE site which would be suited for this question - webapps.stackexchange.com/questions/tagged/blogger
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