Thank you for posting. I apologize for the late response.
On the first issue, I found several discussions regarding this message by going to the Microsoft website and searching Outlook support for the phrase "security warnings". It appears that this is a security feature built into Outlook, and you may find information on deactivation of the warning there:
As for the placement of mail in your Mailbox, it's not clear what's going on. FileMaker Pro will send the message to your default mail program, where it is then handled by that program. To narrow this down, try creating a new database file and just send one message. Does it still appear in the Inbox? There might also be a clue to this in the configuration of your mail client. Is it set up as a "POP" or "SMTP" type?
I realize it has been some time since your post, so if you have since found information that might help others who have encountered similar issues, kindly post it here.
I have Outlook 2003, and tried to follow similar steps to disabling the security function. Tried it again, and it still gives me that same message. I'm having trouble finding a configuration for 2003, and have even been second guessing if Filemaker is appropriate for mass emails. This has been frustrating, I didnt' think it would be this complicated.