Did you have any scenery selected during install? A few areas should have been selected by default, but perhaps you accidentally de-selected them? This is not necessarily a problem--installing scenery can take a long time so we do recommend doing small bits at a time. You can always add more by inserting DVD 1, running the installer and picking "add/remove scenery," then selecting areas on the map.
That warning doesn't sound like the X-Plane demo warning. We don't show a demo warning on screen at all times. It only comes up if you pick an airport outside of KSEA or if you reach the end of your 15 minutes. Are you using a third party plane or add on that might be showing a constant warning?