What security concerns? No where does it say the President must show up before Congress to deliver the State of the Union address; only that
The President “shall from time to time give to the Congress Information of the State of the Union, and recommend to their Consideration such measures as he shall judge necessary and expedient.” Article II, Section 3, Clause 1
In which case, the President can just as easily deliver the address from the Oval Office as they all do during the first year.
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