I have an identical problem. Security is set to 'Requested Module Security' and 'Current Local Security' is set to 'Only Safe Mode'. So I have ticked the appropriate box in Settings->User Preferences and in the Security tab the 'Always Override Security in the Module (Allow CreateObject and File Access)'. However, the macro still fails citing security as an issue.
If I set 'Requested Module Security' to "System Access" and 'Current Local Security' to 'Allow System Access' it works fine, even on opening. So I am wondering:
1) Why does the override security not work and has this changed with Qlikview 11 ?
Sounds like a bug because I assume the setting in user preferences should have precedence over the settings in the "Edit Module..." window. System Access allows for the use of file system object functions in the macro that could be used improperly to damage the files in your computer.