The orange warning banner with the padlock was added because there's a bogus LW update showing up in search results. It's a 75.7 KB .exe & shows up as "Urgent LW update - download & install now". If people download that thing they could end up infected. To try to prevent careless people from downloading a dangerous file, the warning banner was added to LW's interface.
The padlock symbol doesn't apply to music, movies etc

If you're not seeing the firewall icon things must be pretty well set up...that's good.

Are you getting absolutely no search results at all? Try this: http://www.gnutellaforums.com/263723-post2.html

If that doesn't help, delete LW's preferences folder when LW's properly closed. See point 3 here & also point 2 if you've used older versions of LW in the past (there could be a folder in either location).
Fixes for LimeWire
This will kill all of your settings within options, you'll have to go back through afterwards & reset things. If you're not sure of your settings, go through LW's tools > options & write them all down, so that you can reset things later.

Let us know how that goes