Mex defaults to secure_scl=0. Verify this with mex -v myfile.cpp. Defining secure_scl=1 will break a great deal of legacy code and may reduce performance.
The relevant build options I see for VS2010 are:
/D_CRT_SECURE_NO_DEPRECATE /D_SCL_SECURE_NO_DEPRECATE /D_SECURE_SCL=0
