Issue while accessing CRM by using DNS alias URL

Hi all,

I have MS crm 2011 in on premise.

There is a custom entity on which we have JavaScript code.

When I m accessing the CRM using server name in URL(e.g http://abcd1101:5555/CRM/main.aspx#) then it is working fine.

But when I am using DNS certificate url (e.g. http://crm.company.com:5555/CRM/main.aspx#) then I am getting following message.

Internet Explorer message:

This page is accessing information that is not under its control. This poses a security risk. Do you want to continue?

If I click "No" then JavaScript following code fails

var xmlHttpRequest = new ActiveXObject("Msxml2.XMLHTTP");

    xmlHttpRequest.Open("POST", "/mscrmservices/2007/CrmService.asmx", false);
    xmlHttpRequest.setRequestHeader("SOAPAction", " schemas.microsoft.com/.../RetrieveMultiple");
    xmlHttpRequest.setRequestHeader("Content-Type", "text/xml; charset=utf-8");
    xmlHttpRequest.setRequestHeader("Content-Length", xml.length);
    xmlHttpRequest.send(xml);

If I click "Yes" then JavaScript following code runs Succesfully without any error.

In internet option setting I did following setting to disable this prompt option then it is not prompting above window and working fine

internet options> Scecurity Setting> Custom Level> under Miscellaneous enable option"Access data sources across domai" 

But I don't understand what is the reason that when we are using the DNS alias then it is becoming cross domain access of data.

Please help