I've never seen this. Moving to the InDesign forum since this is a basic InDesign feature that DPS uses well after the content is actually inserted.
That´s probably Flash Player´s local storage security issue (I guess your video is flash based). Basically an asset in your local hard drive tries to connect internet. That will trigger an alert like that by default.
You could try to click that settings button and add that folder where you have stored your project to list of trusted locations. If you have Flash Player 10 or 11 you should find Flash Settings from your system settings as well.
Following tutorial covers a different problem but possible solution is same:
Thanks, Petteri. The video is not Flash-based, they are MP4s specially prepared for delivery to the iPad. I stress, clicking the 'Settings' button appears to do nothing at all. I click it and yet every time I place more HTML code, up pops the warning again.
As for Flash Player settings, I have no idea where these are. They certainly are not in my System Preferences.