Can someone explain me why Microsoft Excel 2012 is telling me that accepting automatically every macros is dangerous, I mean how can they be dangerous, for my worksheets, for my entire computer ?
Macros written with malicious intent could harm your computer, the same way any malware could.
Here's an article from Boston College on the subject. From the article:
ABOUT MACROS AND MACRO VIRUSES
A macro is a series of program commands or instructions designed to simplify repetitive tasks within a program in the Microsoft Office suite (such as Microsoft Word, Excel, PowerPoint, etc.). Any operating system can receive a macro virus, even Macs, as long as you have Microsoft Office installed on it. A macro virus is a virus that is created by using the built-in macro programming language, designed to execute as soon as the file is opened. It attaches itself to a document file and waits until an application like Microsoft Word opens it.