We have a terminal server (2008 r2) and a domaincontroller (2008 r2) on which we have defined a gpo for software restriction.
Now users can't click mailto links on a webpage. They get the message that the program is block by grouppolicy.
When we turn off the software restriction policy for a user, he/she can click a mailto link and it works fine.
This is how the gpo setting looks like.