The compiler display warnings if you use Sun's proprietary Java classes. I'm of the opinion that it's generally a bad idea to use these classes. I read this somewhere. However, aside from the warnings are there any fundamental reasons why you should not use them?
Because they are internal APIs: they are subject to change in a undocumented or unsupported way and they are bound to a specific JRE/JDK (Sun in your case), limiting portability of your programs.
Try to avoid uses of such APIs, always prefer a public documented and specified class.