I keep getting a warning when starting a Rally or Rallyx "Road tyres on rally track" so I am wondering, is there some way to get Rally tyres(aggressive tread for off road)? I have cycled through all Brands of tyres and find only "Slick" tyres

Depends on the car. The race cars only have slicks available as they don't really have the ground clearance to do rally cross.

Be aware though, the cars fitted with slicks have no offroad tyres... You don't have to cycle through the brands, you have to cycle through the tyre types (Road_Super, Road_Normal, Hybrid or Knobbly)...

Beaten by my hometown, dammit...

The Formulas are kind of drivable in the dirt if you deflate the tyres and soften the suspension alot. Its realy fun in multiplayer trying to drive safe overtaking when the opponents spin.