Security implications disabling promotion of distributed transaction for linked server
When you do INSERT INTO...EXEC locally, sql server will honor it, but when you use Linked server, sql server has to initiate a local transaction and promote / esclate to a distrubuted transaction.

From --> How to create an autonomous transaction in SQL Server 2008


  'remote proc transaction promotion' is a new option on SQL Server 2008, which allows you to control whether or not you want to enlist remote stored procedure call in a distributed transaction. When this option is off  (FALSE), the local transaction will not be promoted to distributed transaction. This is how we are able to separate outer and inner transactions in a "autonomous transaction" fashion.


As far as I am aware, there is no security implication.

Also, refer to sp_serveroption for more details.