As a result of some scammers passing off malicious scripts as legitimate, Blizzard has implemented a Lua script warning anytime you run a macro with the “/script” or “/run” commands. You get this same warning if you type a script directly in the chat window without a macro.
The warning is essentially telling players to be careful of running custom scripts they get on the internet or from other players, that they should not run any scripts they do not trust.