Rafael,
You are correct. :-( I was able to reproduce this behavior. Besides disabling the warning (e.g., adding "#pragma warning(disable : 4996)" to your program), you can do the following:
Edit the <COS_INSTALL>/cplex/include/ilcplex/iloparam.h file and comment out the following line, like so:
//CPXDEPRECATED(12060200)
That's annoying, sorry about that. We'll certainly address this as soon as we can.
#CPLEXOptimizers#DecisionOptimization