This is also happening on the embedded CUIC in UCCX 12.0(1) for us. The file it's exporting out is in HTML format. You can change the extension to .htm and then do a file -> open in Excel and it'll open without the prompt. Then you can do a save as to convert it to a proper Excel file format. Alternatively you can ignore the warning and have Excel open it anyway and then do the save as to convert it.
