From the mention of the internet at the bottom of the box I think this is some form of hold over from downloading a file from an insecure source - the internet
Not sure how long the block from downloading remains - I know that all contents of a "blocked" zip are blocked until un-blocked, so you may want to check the .exe that is called by the shortcut
I don't run games so wouldn't know about that but I can run chrome without a dialogue