In this paper, we present an analysis of the vulnerability of a distributed model predictive control (DMPC) scheme in the context of cyber-security. We consider different types of the so-called insider attacks. In particular, we consider the situation where one of the local controllers sends false information to others to manipulate costs for its own advantage. Then, we propose a popular scenario-based mechanism to protect or, at least, relieve the consequences of the attack in a typical DMPC negotiation procedure. The theoretical and algorithmic properties of this defense mechanism are also analyzed. A realistic case study based on a local energy grid of households is provided to illustrate both the consequences of the attacks and the defense mechanisms.