In this instance (that of a master warning and associated messages/CAS), it's always wise to simply follow the appropriate procedure. In the Citation, some Red Warning Panel messages allow for continuation of flight under certain circumstances (land as soon as practical, or continue flight to destination).

In the CRJ, this particular message (red "PASSENGER DOOR") is one that requires an immediate descent (but not necessarily an emergency descent) and a return to landing (regardless of cabin pressure indication)- per the QRH. I'd be hard pressed to continue given specific instruction from the book to return for landing (even if I was sure it was just a proxi switch). I wouldn't declare and emergency or do a "Brick one descent"

Follow the emergency/abnormal procedure and you can't go wrong. What might be a "return to land" in one aircraft isn't necessarily that in another aircraft. I flew a leg where the proxi-system on the CRJ galley door was going ape (got the "SERVICE DOOR" message). We still continued to our destination. No biggie.