A vulnerability has been discovered in vim which would allow arbitrary shell commands to be run if a user opened a file with a malicious modeline. This is due to lack of validation of values for a few options. Those options' values are then used in vim's scripts to build a command string that's evaluated by execute, which is what allows the shell commands to be run.
This has been fixed in Vim by patch 8.0.0056. Since Neovim shares this code, it is also vulnerable.