From Java 7u40 release note. Java removed feature of “Remember this decision” for self-signed and unsigned applets.
New Security Warnings for Unsigned and Self-Signed Applications
New warnings are added in the dialogs for Unsigned and Self-Signed applications. From the dialogs for Unsigned and Self-Signed applets, "Remember this decision" option has been removed. In addition, the previously remembered decisions for self-signed and unsigned applets will be ignored.
For more information, see Security Dialogs
The only option to get rid of warning dialog is to get your applet signed.