When you add a domain name into the domain list, it's checked for correctness and if it's an invalid domain name, it is validated.
Not a Second-Level Domain means that domain name is too long. E.g. "www.domain.com", "web.cam.co.uk", "whois.internic.net". In this case, dialog with three choices will be displayed:Convert to Second-Level Domain that is remove unnecessary prefixes, Reject Domain and don't include it in the domain list and Don't Validate i.e. leave as is and include in the domain list.
Select the Don't ask, use this choice checkbox if you want to use selected choice by default and don't be prompted anymore.