iFrames can import on-line content and can execute code, giving it great potential to cause harm. iFrames are usually used in regular web pages and are often used to import adverts, so seeing them in an email is unusual.
If you can't open it how do you know it is harmless?
When you are warned, you surely have the option to do nothing and accept the email?
When you get a warning as opposed to a virus alarm, you have to make decisions, do I know who the email comes from, is this something they are likely to send and/or were you expecting it?
The more unsure you are of the origin the more suspicious you should be, you can always delete it and tell them why and to send it again.