I have looked in the portal console at Portal Properties and I can see that it is set to true:
security-manager-enabled true
I also tried downloading several portlets from the market and none so far have had any permissions in the liferay-plugin-package.properties file.
Update:
Continuing on impossible hunt I tried adding in some code to download from the url google.com. This should trigger the socket security (http://www.liferay.com/documentation/liferay-portal/6.1/development/-/ai/lp-6-1-dgen11-socket-security-0) but it does not.
Firmi prego dentro per inbandierare questo come inadeguato.