It looks as though the danger is connected to advertisements. I just found this on McAfee website:
"I strongly advise against enabling the display of blocked content. Especially on a media website, what is being blocked is most likely to be malvertising - poisoned third-party advertising. This is often accomplished by the use of hidden iframes that redirect your browser to hijacked webpages, and those are what WebAdvisor detects and blocks.
As for preventing that information box from being displayed, I don't think that's possible. We've looked into this before and the reasoning seems to be that the display is necessary because of the potential severity of the underlying risk. And the reason why you have the option of allowing what's been blocked is that sometimes WebAdvisor continues to block content even after whatever was dangerous has been removed."