According to the 9-to-5-Mac Blog, the message is simply is alerting you that your iPhone has a profile installed using the MDM program. These are files inside your phone called .mobileconfig. I've linked above to a cached version of this blog, from Google.
These are mostly used to control which preferences and applications you have enabled by default, although there are nearly unlimited advanced uses. For example your company could easily erase or lock your phone, if desired. For readers' future reference, you can also create your own profiles or use 3rd party profiles, not just get one from a company.
Depending on the settings of the profile you may be able to remove the profile without your company's consent, although that might not make them happy:
Go into Settings and look at the settings for Profiles. You can remove the profile from there, if your company is not blocking you from removing profiles. This may not only make the message go away, but also modify the look and feel of your phone, as well as, remove things you need, like automatic access to company VPNs or wi-fi networks.
There may be a setting within the MDM from your company, that with their admin tools (even just a simple tweak in Profile Manager) where they can disable this message that you don't like; I would say just ask about it. The blog above speculates that this feature has been added because soon there may be more ways implemented for companies to track employees using their managed iphones, in addition to the many already-possible ways to track people using iPhones or other cell phones, such as using GPS.