enigma1 - 1:15 pm on Nov 13, 2011 (gmt 0)
I haven't seen this message box. The reason is, scripting is disabled by default as well as cookies. I only enable them for sites I trust and only for the domain I visit. So for example if your site uses ga I may enable scripting for your site but you'll never see my visit in gwt.
There are browser plugins that have to do with privacy and can improve secure browsing.