Even though the Welcome message can be interpreted as an invitation for any to logon, there is no supported way to remove the caption.

You can enable a warning dialog. See tips:

0024 » Logon Welcome/Legal Notice.

2313 » How do I control new lines in the Windows 2000 LegalNoticeText?

4225 » How do I modify the title of the Secure Attention Sequence (CTRL+ALT+DEL) dialog box in Windows 2000 and Windows XP?