I had been reading this message after my Xorg and XDM upgraded, This is an unsecure session. I didn't know how to do with it, I googled but got nothing really helpful. I checked the /var/log, somehow I only focused on Xorg.0.log and completely oblivious to xdm.log (I might have eying problem).

xdm.log has pointed out the problem very clear:
xdm error (pid 6186): cannot make authentication directory /var/lib/xdm/authdir: No such file or directory

I didn't have /var/lib/xdm directory, the message was gone after I created that directory.