Sometimes, the "code base" parameter for Flash objects will cause the error. The other thing that might be happening is there is a CSS or JS file that is missing and throwing a 404 page, which might not be secure. In that case you'll get the error message too.
Secure (https:) vs 'Unsecure' (http:) - It is my understanding that if there is a mix of sites (https/http) called up on a page that one can get a warning message. When you are on an secure page (https), do a [View > Page Source] and scan down through the various page element references. Encrypted data is handled by a secure page.
If you are on a 'trusted' site - and you must evaluate for yourself if the site you are visiting is to be trusted - and the pattern of warnings is consistent from visit to visit, then it is a burden to always be presented with the same diagnostic(s).
If you are on an untrusted site, or are given to indiscriminately clicking on links, or are neurotic about even the possibility of some mischief befalling, then retaining the warnings is an option.
It should not matter at all, it is all in the information. Mostly, this will occur if an advertisement image on a secure page is coming from a non-secure (http://) address. It's really a server issue. So, nothing to worry about.
I wouldn't remove it unless it was infected. Reason being, there are a lot of other 'important' sites that only work in IE.
Edited by KonamiYoto, 29 July 2009 - 11:17 AM.