I don't think you can expect to work around this any more than you can teach users to not trust "https://www.paypal.com.nigerian-scammers-love-you.com". However, it's an argument FOR keeping some text like "If you don't know where this came from or what's going on, click Cancel" in the dialog box.
As an example, your recent dialog (krun8.png) might end up reading:
"This will start the program:
xterm -e 'dd if=/dev/null of=/dev/sda'
If you do not trust this program, press cancel"
and users could think "Oh, well, I don't fully understand what that means, but I do trust xterm, so I'll click OK"
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