The documentation states the procedure can be created in the database of your choice, but makes the recommendation to create in the master database. However, the first line of the script sp_CheckSecurity is "USE master;" which changed the database scope to master, thus removing the ability to create the procedure in the database of your choice. This line should be removed from the script to be inline with the documentation.
The documentation states the procedure can be created in the database of your choice, but makes the recommendation to create in the master database. However, the first line of the script sp_CheckSecurity is "USE master;" which changed the database scope to master, thus removing the ability to create the procedure in the database of your choice. This line should be removed from the script to be inline with the documentation.