Hiding the miner window is optional and disabled by default in CGWatcher.

If this would display a message box, CGWatcher could close it immediately and automatically... but then again so could malware. The user may see a flash of the message box but it would disappear too quickly to read, and that could alarm miners unaware of what it is. If it's a command window prompt, it could still be handled automatically, albeit using less-than-ideal methods. Either way, it is something CGWatcher would have to bypass in order to preserve some of its core functionality - restarting miners, scheduled mining, etc.

I can appreciate the intent, but either way I think it would be circumvented fairly easily.

Edit: Just looked at the code. Yeah a message box can be closed by other software pretty easily, and probably quick enough that most users wouldn't notice it. I think malware creators would have no problem bypassing this... or would just use older versions or compile bfgminer without this prompt.