I've noticed that it appears any time I'm selling any HQ crafting materials. I think it's intended as a warning for those who might still have HQ gathered/tomestone/scrip materials up for sale but it seems to be triggered HQ intermediate (crafted) materials as well.

If any of the Cotton Thread you're listing is HQ, that's probably what is causing the warning flag to appear. There's no problem with selling it, which is why the flag disappears once you check your listings.