please tell me how to remove this very irritating message.
You should really not log in as root with a graphical environment. This said, to answer your question, if you are talking about the banner message on top of the file manager window, then it's Thunar.
Well, having a configuration option to disable the warnings would be nice, though :)
Disabling crucial warnings makes them useless. The idea of the warning is to make sure the user is aware that he's about to mess up the system.
If you ask me, I'd vote for keeping the warning.
Should someone close this bug?
Here is the patch to fix the 'problem' for some users, but we should defenetly not remove it. http://foo-projects.org/~nick/patches/thunar-no-root-warning.patch
Nick has provided a patch but it won't make it into SVN anyway, closing it as WONTFIX.