Well to answer your questions, take a look at documentation put together by Cathal. It should be available in the DNNv3.0.10+. Also, Cathal blogged about it here:
http://blog.developers.ie/cconnolly/archive/2005/07/01/1498.aspx
There was a lot of discussion about this facet of security when it was introduced in the .Net framework. One of the first DNN modules to hit it was the NewsFeeds (RSS) module, which I just happended to be the Project Lead at the time. As we moved forward, we played with settings that allowed the module to be used, setting up CAS to beyond medium trust, but Hosters like GoDaddy didn't exactly buy into allowing changes like that to happen on their cheapie hosted sites. I worked with a hoster who was more flexible, and continued to use the module.
The simple answer why lies in the way the .Net framework views any application that makes webrequests - they are not always safe, and need to be handled by setting up some custom site security. I don't know what or how your other sites on GoDaddy are setup, but you could take a look at your settings in the Web.Config to give you a clue. There's is another Machine.config that the host can setup to allow for CAS custom settings, and it's really a choice that is up to Hosts to support.
There are probably ways to do this by coding the module different, as I think some of the modules get around it, but since the module is being redesigned, it would not help with the older versions (the current version).
So, take some tme to read the doc., which you can access and download here: http://www.dotnetnuke.com/Resources/Documentation/tabid/478/Default.aspx