Excel does not know if the add-in is truly trusted so it is killing Dynamic Data Exchange so that your shiny new add-in can't download malicious code without the user knowing it. You are going to want to tell Excel to trust the plugin using the Excel trust center (Office Button > Excel Options > Trust Center > Trust Center Settings Button). Look at both the Add-Ins section and the Macro Settings section.
One thing you might want to consider is signing your code with a certificate (tools > Digital Signature in the Vb editor) and then having your end users add your cert to the trusted publishers. If your end users are in a domain setting, the trusted publishers can be set as a domain policy so the end users won't even have to think about it.