Hi again,
To be absolutely honest, if I were you, I would keep the link. It's meaningful to your site, and it's not disrupting the viewing of your site. It's not a dangerous link.
That icon is a warning (that I suspect very few people pay attention to), rather than an emergency notice.
If you have any suspicions about your links, check them out. At the very least, this will make you more knowledgable should any of your visitors ask about the warning icon.
Regarding the link -- and moving it to your blogroll -- it's worth experimenting with, if it's enough of a concern for you. However, I cannot be certain if the issue will be alleviated or not, since the link will be the same. It will only be displayed as text, rather than as an image link.
Drop me a note if you choose to do this. I'd like to hear your findings.
Please let us know if you have any other questions. Thanks much!