In government "Classified," with a capital C, is a term of art. It refers to data which the classifier believes requires some level of protection, rather than to the decision about the data. This results in this strange expression. To say that something is "sensitive but unclassified" is to classify it the sense of the literal English meaning of the word but not in the meaning of the term of art. It is an attempt to get around the fact that the government has coopted the word Classified for its own use.