Think about it. Cross zone scripting and access was tightened. Locally saved content will trip the alarm due to the mixed sources.
I have several saved webpages including a couple from these forums, and CNet. When I open these pages offline, I get a security alert, although when I open them ONLINE, all is fine.
Guessing it has to do with security settings for the different zones, but not sure, since I would think security would be tighter in the Internet Zone, than in a "local" zone.