This is not an error. The kernel gateway module is loading properly. The warning tells you that nvidia driver is not GPLed, but in fact it works. You missed something else: The NVIDIA driver is made of several components:
- The linux kernel gateway module(that you load properly with modprobe)
- The xfree modules. I think you have pbs with their setup. You should check that all the files from the nvidia driver for xfree are properly installed.