The Strangest Kazaa Security Warning Ever

I've been doing analysis of different types of spwyare recently at work, looking for ways to identify them. In the process, I snagged a packet capture of the installation process for Kazaa, the P2P file-sharing program. While sifting through the traffic, I saw something very, very weird:

For those of you who are not combination computer-geek French speakers, let me explain this. It's one piece of the Kazaa installation program, viewed as it was being downloaded to my virtual machine. It reads, in English, "Kazaa Media Center is configurable in very odd ways after you've installed it, by selecting Utilities -> Options. It is strongly recommended that you keep the default configuration. Changes to the default configuration can diminish the security of your PC."

Why is this so strange? It's because Kazaa is a security risk in and of itself, especially since it installs hordes of spyware on your computer -- despite claiming forcefully on its install page to have "NO SPYWARE!". It's so notorious a security risk that, when trying to intentionally create security problems for study, I knew right away to install it -- and none of my co-workers disagree. How could something this bad to start with possibly be less secure?