The privacy features are there to prevent you accidentally writing a query that sends sensitive data somewhere you don’t intend. If you are not querying a data source that places your data at risk, then there is nothing to worry about. If you are simply loading data from 2 different files on your own file server, then there is no more disk to turning this off than there is copying and pasting from the sources. But be aware that once you turn off the privacy check for the workbook, you won’t be warned (say in 2 years’ time when you forget you did it) if you adjust the query and connect to the internet (for example).
I turn off privacy for most of my queries.