If you’re using your company’s SharePoint site, this warning message isn’t really needed, since you already trust it. And the dialog box alarms admins who don’t realize what’s happening. This happens under Windows 7 64-bit, IE 9, Word 2010, SharePoint 2010 running over SSL with a trusted certificate, selecting “Edit in Word” from the drop-down menu.

If you put the site in your “Intranet Zone” and take the security settings slider down to its lowest setting, the problem does not go away. But if you put it in “Trusted Sites” and take the security settings slider down to its lowest level, the warnings do go away. I haven’t taken the time to figure out what setting is to blame. The super-low security settings in this case are not a problem for me, since I only have one site in the Trusted Sites list (the SharePoint site itself).

UPDATE: Office 365 SharePoint Online seems to handle everything much better.