It seems a lot of people were having problems with this including myself. I also feared having to simply do a IT policy reset on my BB which would include wiping my device and restoring it from a back up. Well after tinkering and several experimenting to avoid this I came up with a solution.
Basically go to Options > Memory > Encryption Mode > "Set it to NONE"
After doing that the small red lock goes away. No need for cumbersome IT policy resets. If this tip has been giving out already then I apologize. I didn't see it being mentioned after doing a search for my dilemma.
If you were seeing the little red padlock against the memory or media card then this is reasonable.
IT Policies usually show up with the little red lock against the Firewall and that cannot be removed unless you use CrackUtil or another program. Sometimes this wipes the phone but mostly it does not so make sure that you do a sync and a backup first.
IT Polocies are so hard to remove that RIM will tell you that they cannot be removed at all. When I called them about this, I explained about the functionality within their own program javaloader and they consistently refused to admit that this worked.
