Symptoms
When installing K2 blackpearl SharePoint components you may see “Cross-Domain Data Connections” warning raised by K2 blackpearl Setup Manager.
Diagnoses
This particular verification step checks if Forms Services allows cross-domain data connections. See "Summary of tool checks" section of K2 blackpearl Installation and Configuration Guide for details:
http://help.k2.com/onlinehelp/k2blackpearl/icg/current/webframe.html_summary_of_tool_checks.html
Resolution
Refer to Microsoft documentation on how to configure SharePoint 2010 Forms Services including allowing Cross-Domain Data Connections:
https://technet.microsoft.com/en-us/library/cc262263(v=office.14).aspx
If Forms Services are not being used in your environment then this warning can be ignored.