This issue is not so much an issue with .xls vs. .xlsx. Later releases of Pega exported a "true" Excel file. And we are exporting it as the latest modern extension .xlsx.
The warning dialog is Microsoft's way of telling you that this may not be a true Excel file. And it is correct. Please refer to this SA. While the start of the SA describes a list view, you can ignore that part. The explanation is the same.