That is not the same as what I said. When you receive a .zip containing an addon, it is my suggestion that the code is checked there and then (in a visual sense rather than a practical sense) to make sure the code is safe. This is before even shifting the script file to mIRC's directory and therefore no message from mIRC is possible. When and only when one deems the code to be safe, it can then be installed in the proper way and then approving of the ON LOAD warning.

I'll add that this procedure should be followed regardless of whether the script has an ON LOAD or not.