BC, I changed the size of the icons by opening Documents folder in Windows Explorer and changing the size of the icons. I had the icons set at small size before the change and, with the small icons, the exclamation mark was definitely inside a yellow object. If I reduce icons back to small size, it remains an exclamation mark inside a yellow object. So, I don't think icon size is a factor here but I'm at a lose to explain why some users might see the exclamation mark inside a red cirle while others may see it inside a yellow scrolled sheet.
One remaining possibility seems to be the OS. Is it different with XP than with Vista or 7? Well, as Allan says, it appears not to be something to be viewed as a significant issue. When I did a Google search on this, I really found very little in the way of helpful references but enough to verify the special icon appears when a Word file is saved as a Macro-enabled document or Macro-enabled template.