You receive the "Opening this will run the following SQL command" message when you open a Word mail merge main document that is linked to a data source

Run a registry update

You will need to run a registry update on the machine that is experiencing the error.

Download the file relevant to your version of Word from the list of files attached to this article.

Unzip the registry file to the affected machine and execute the registry file with administrator permissions.

This Microsoft KB details the issue: KB 825765

https://answers.microsoft.com/en-us/msoffice/forum/msoffice_word-mso_win10-mso_2016/sqlsecuritycheck-registry-setup-in-word-2016/3b64784f-d654-4449-890a-850288ef9f12

Check the registry setting

To check that the registry setting has been added:

1. Open the registry

From the Start menu type > Regedit

2. Search for "SQLSecurityCheck"

From the Edit menu select Search/Find and type: SQLSecurityCheck

If the highlighted file is not in your list you will need to run the SecCheck zip file that corresponds to the version of word you are using.

Word2016SecCheck.zip is used for 2016/2019/2021 and 365.

 

3. Ensure that the setting is created, turned on and the setting is added for the correct version of Word.