@mangeurdenuage
Well, one important problem that you would certainly encounter when using BIOS to boot Windows — you won't be able to install it into a partition greater than two terabytes — because MBR partition scheme obviously doesn't support partitions spanning beyond two terabytes. I'm not sure it's a feature though.
I expect you to have this problem with grub too, but it's easily solvable with using GPT with protective MBR and a tiny /boot partition visible in MBR too.
@mangeurdenuage
> I'm not booting into windows
I'm not claiming you are, just theorising why they might be giving you this warning. In the end it might be unrelated to SecureBoot — the fact that MBR doesn't support disks bigger than 2 Tb would certainly slip my mind if I didn't run into this myself.