@Daniel, Thanks for posting in Q&A. Based on my researching, for the warning, we can add the IP address into "Local Intranet" to fix the issue.
https://superuser.com/questions/149056/disable-these-files-might-be-harmful-to-your-computer-warning
Note: non-Microsoft link, just for the reference.
Please add the file share server DNS name and IP address into the fist policy setting with value 1 to see if it can work.
If there's any update, feel free to let us know.
If the answer is helpful, please click "Accept Answer" and kindly upvote it. If you have extra questions about this answer, please click "Comment".
Note: Please follow the steps in our documentation to enable e-mail notifications if you want to receive the related email notification for this thread.