Both FireFox and IE incorporate anti-phishing security features in their browsers. The basic phishing filter involves a collection of checks on ip, url, and other identifiers gathered from the website and other security databases. A user would get that warning in IE if they have the phishing filter set to 'on', and there really isn't anything a web manager can do about those settings for incoming users to a site, that's what the 'security is setup to do - protect the incoming user.
Now, this isn't really a problem with the RSS module, but a browser, security issue. If a feed source is attempting to gather personal info by scripting their site, or if you are doing it in yours, then the browser may fire off that warning depending on what it being done.
I really didn't see the warning with my default setup because I had the filter turned off. This type of checking is done primarily for and on sites that collect financial information, but it doesn't always have to be for that purpose. Also, the mechanisms of phishing detection are not perfect. At any rate, I don't know of any way you can turn those checks off for incoming users, and your best bet is to check sources for any phishing that is going on before placing their 'newsfeed' on your site.
Cheers