The answer is usually pretty simple. If your application is installed on the end user's computer, CHM is often the best option. If your application is web based where users access it from a server, you likely want WebHelp or Resposive HTML 5.
As for that message about ActiveX, users only see that if you generate WebHelp, then install it on the end user's PC. If you generated WebHelp and users accessed it from a Web Server, they shouldn't be seeing this message.
Sometimes help authors see this message about ActiveX when testing locally and just assume that end users will also see the message when they access the help from a web server.