I love this, even if you DID check for updates, that "You haven't checked for Vanilla updates yet" box still appears. Is that a bug, or is that on purpose?
It should go away--for a period of time--however long you set in your preferences.
If you look in conf/settings.php, there should be two settings that relate to the update check, one for the period of time between updates (this may not be there if its set to default) and one set to the time you last ran the update check.
If that last run time is correct, then it should go away.