I also tried this. On one wallet it worked, but on another it hasn't. I even went so far as to transfer all the coins out of the wallet, completely deleted the wallet.dat and blockchain (everything in the data folder) and let the blockchain download from scratch. Still have that checkpoint message.
It doesn't hurt anything though, right? I'm still solo mining fine.
It shouldn't hurt anything as long as you are on the correct chain but while you are seeing that message there is no way to ensure that.
But still, it is annoying and should be fixed in a correct way (by broadcasting the checkpoint) as otherwise cryptsy could easily reject the 'application'.