It is not an issue we are familiar with. We are using the Silverlight monitor ourselves in our web dashboard(which is a Silverlight app) and we have not seen the mixed content warning (and hopefully, neither have you).
One issue you might run into that could trigger this has to do with configuring the monitor. More specifically, making sure that it is configured to use SSL if your site is loaded using https and vice versa. I'm guessing here, but if the hosting application is not loaded using the same protocol you might be getting the mixed content warning.
Let me know if this helps
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