Security-wise, the portable version doesn't have anything different from the normal "versions".
It's just flagged to save the electrum data directory where the portable executable is.

The warning is regarding to its use-case when the electrum-portable.exe and its electrum_data directory are stored in a flash drive which is usually plugged in different computers.
But if you're using it only on a specific computer, it's no different than the stand-alone version except for the data_directory's location.