A family of Microsoft spreadsheet software with tools for analyzing, charting, and communicating data.
What you're referring to are Privacy preferences, not Security preferences. Much of the program — including the Help files — are web based rather than being locally installed. The full explanations are provided if you click the LEARN MORE... links in the Excel> Preferences> Privacy dialog window including those on its Manage Connected Experiences page.
Among other reasons the practice enables making enhanced features readily available without occupying local storage space & provides more immediate availability of revisions & expansion of those features.
Security preferences primarily have to do with controlling VBA [macro] operations which could set unwanted malware loose on the system. These are particularly important considerations for those who receive Excel files from other sources.