It doesn't give you any security at all, even a malicious ActiveX can be signed. It comes down to trust, I could add WarfareHQ to my list of TrustedSites, but usually the well known sites aren't distributing malicious ActiveX controls knowingly, it's usually a hacker who broke into a well known site and replaces the site code with his software, therefore trusting a website isn't really a solution.
But why is Active X needed on a website anyway ? Answer: there is no reason why a website must use ActiveX, everything can be done with JavaScript/HTML/PHP or should be left undone (or otherwise non IE/Windows user might be unable to access the site at all!)
ActiveX: just say NO