I am using my iPhone application on my iPhone 3G OS 3.0.1 without any problems. The application connects to an API URL at https://api.serverdensity.com/1.0/ and all requests
I would confirm that your phone can load any https:// urls without warning. I have an old 3.1.3 iPhone that for some reason warns about every cert it encounters. Not sure what the reason is but it makes it almost useless for testing of my web service.