Hmm, well I'm getting Macro Single Step Error 2001.
So I guess you're right.
Best policy may be to ensure the location is trusted. In my case, my .bat file copies the front end from the server to a local folder on C:, and we don't see the yellow bar. This code is really just a back up policy that gives the user some instructions on how to proceed.
In case you really need to lock it down, I would suggest giving a msgbox with instructions and exiting the application if not trusted. The user will open a blank instance of Access and go into their Options to set the trusted location.
here is a link for macro actions by category. Any action that can change data isn't "safe" such as SetValue and DeleteObject. "Safe" actions include opening objects, finding records, giving messages, and more.