Just encountered this - same situation, same logging, Jenkins Master v1.595 with GitHub OAuth enabled, new master-slave security stuff not enabled. Tried v19, 20, 21, 22, same result with each. Any updates or possible resolution?
I can custom code something but when this setup works it is sooo easy 
I tried a few different scenarios (only with v22 for some combinations, seems same anyway) and got it working using the built-in-user security enabled with Anonymous given full slave rights + overall read access (no user/pass on swarm launch). But that doesn't help with GitHub OAuth since you do not get those checkboxes. It actually also gets the two WARNINGS from above, three times in total, but does connect.
With GitHub OAth enabled I've got "Grant READ permissions for Anonymous Users" checked but it isn't enough. Creating a slave manually and connecting via the string including the -secret parameter works fine.
I also have this issue. Could we potentially use the jenkins API to authenticate around this?