I think it is brilliant social engineering - and I think that un-warned and had I received such an attachment, I might have fallen for it, partially because it is hard to believe that after all these years Word is still subject to macro trojans.
As far as the social engineering goes, I see similar messages all the time in legitimate situations, such as all the web pages that tell me to turn on java scripting, or warnings in emails that the email won’t format correctly if I have HTML turned off.
