The orange warning banner with the padlock was added because there's a bogus LW update showing up in search results. It's a 75.7 KB .exe & shows up as "Urgent LW update - download & install now". If people download that thing they could end up infected. To try to prevent careless people from downloading a dangerous file, the warning banner was added to LW's interface.

The padlock symbol doesn't apply to music or video etc, only to LW updates.

All downloaded files should be scanned with a good, up to date, AV program before being opened. There are many infected files being shared on the network.

If you're using LW from work, you need to check with whoever's in charge of the office internet & see whether it's ok to use p2p with the work computer.
Many employers have a (justified) 'no p2p' policy, because of the possibility of sensitive files being unwittingly shared & the possibility of downloading infected files. You really should check that out.