For the first instance of any FTP job, WA Agent initializes a security object that does many things, including providing the means to change the ownership of downloaded files.
Part of the initialization is to look for the ftpusers.txt file (to be able to run as a server).
Most of the time the message "Security file was not found:ftpusers.txt" will appear just once in one of the log files (defaultlog_agent.log).
But this job is run with RunExternal, meaning agent creates a special purpose version of itself as a child of the agent. This special purpose agent also tries to initialize a copy of the security object. It does not write to the log files, but writes all its messages to the spool directory. The message really serves no purpose in this context.
If this message is a distraction, a dummy ftpusers.txt file can be created as below using the ftpusrcfg script from the agent installation directory.
ftpusrcfg -a dummyuser dummypass