No security warnings should be generated for either of them (tested, and did not receive any), since it's all run locally. Also, that's the way HTA's are designed, to allow privileged access in a normally insecure environment.
Be aware that the default settings for both Norton and McAfee antivirus might detect some of the actions the HTA takes as suspicious and suspend operation until the user clicks OK. I had a particular problem with an HTA that used WSH Sendkeys. Norton prevented it. Had to go into Norton's settings to disable that behavior.