Yes, that's due to Flash's sandbox based security model. If you open it locally the book is not allowed to communicate with the browser (because files from disk are loaded), e.g. for SWFAddress or JavaScript-Book interaction, which is what this message tells you. When you upload it to a server this won't happen anymore.
When using it locally think about compiling the book into a projector (.exe or .app for Windows or Mac, respectively), then you won't get those messages, either.