In the latest rhapsody update, you will find a file at:
Service\Rhapsody\message.xml
If you copy this file to your PC and the open it with your favorite editor you will see custom messages for startup and shutdown. By default startup says "Welcome to Rhapsody" and shutdown says "Goodbye". These of course correspond to alert style messages you see when starting up and shutting down your clix.
I changed my messages to say "Ted Yo!'s clix. Please don't steal." but I'm sure you can get more creative then that.
Also, if you don't like the alerts this is where you can get rid of them.