Just posted this in the latest app release thread linking your post there.
I have seen this before with other devices when notification actions are built into rules, but those were fixed in previous updates. This is the first I have seen it in the Climate Sensor.
In the past, if the rule is saved in spite of the unknown device listing, the action still executed and showed a successful execution within the Rules History on an unknown device.
Can you test the rule with the Climate Sensor Notifications On action left in there? Check the Rule History to see if it reported a successful execution in the sensor (which should also be listed as unknown device). Check the sensor settings immediately after the rule executes. Does the notification setting within the Climate Sensor settings toggle to on?