It means you're accessing your web server using the WebDAV Redirector which is a feature specific to Windows.

A WebDAV endpoint is a web server that supports WebDav, a standard protocol over HTTP or HTTPS transport. Basically, WebDAV allows to expose a pseudo file system (files and folders) over HTTP(S). SharePoint does support WebDAV.

So, the Windows WebDAV redirector is an OS driver that "mounts" the WebDav pseudo remote file system as a virtual file system, so it can be seen like by all Windows apps like a "drive" (it's similar to what happens when you "mount" an ISO disk).

The document explains how you can manually connect to a WebDAV endpoint. In this case, you will get a drive letter. But you can connect implicitely, which is what happens here, this is why the 'DavWWWRoot' keyword exists (it's known to Windows), to allow for implicit connections, w/o having to map the drive explicitely.

So this file path:

\\myserver\DavWWWRoot\mypath\myfile.ext

will implicitely connect to the myserver WebDav HTTP server, though the WebDAV redirector. It is equivalent to this url with a file scheme:

 file://myserver/DavWWWRoot/mypath/myfile.ext
 

@ssl is another hardcoded keyword trick that instructs the WebDav redirector to use HTTPS instead of HTTP.

So, in the end, it means you're accessing the SharePoint file using HTTPS, but as a file on a remote disk (like a share). There is no security breach per se (WebDav redirector uses HTTPS authentication, etc.) but IE rules may be different, it depends on your IE settings.