Hello,
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You do not need to have any macros in document to get the warning.
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I understand you have stated that you have never added macros in a document. Regardless, and just to make sure you check this also, even if there are no macros currently present in the document, if there is an event with a link to a macro (once there and now code is gone) you will get the warning. Example event:
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Edit:
Should also note this may be because of a python macro not in the document but referred to in an event.
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Another item to check may be something installed in
Extension Manager.