Hi Marek1991,
Since all suggestions above don't work, to disable this security prompt info, I'd like to suggest you get the link of your PDF files from OneDrive online(anyone link) then add the link to your IE's trusted sites and insert it to your workbook to open it directly.
For your reference: Share OneDrive files and folders.
You can refer this thread to add your link to IE's trusted sites.
Regards,
Neo