When you call a webservice, you are making a network call. As a result cross domain rules come into effect to prevent data being sent to an undesirable location. Template using domain security level restricts access to InfoPath webservice adapters and certain COM objects such as XMLHTTP object.
A fully trusted form can access cross domain data
For more details on this please refer the chapters Webservices and Security in the book "Developing Solutions with Microsoft Infopath" by Patrick Halstead
Kalyan G Reddy
Infopath MVP 2007 and 2008