Hi Danssmith,
The warning you are getting is because the document and/or the location is not trusted by Excel 2016 for Mac.
It is not specific to any one data connection, rather just the fact there is a data connection at all.
We would like to suggest you leave a comment to Excel for Mac UserVoice to improve our product.
Here is a related suggestion I have found for your reference:
You can vote for it or leave a new suggestion.
Thanks for your understanding and patience.
Best Regards,
Gloria