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User shortcuts asking for permission to open file after folders redirected in GPO

Last Modified: 2015-04-23
We have a Windows Server 2012 R2 Hyper-V host, running several Server 2012 R2 VMs (e.g. DC, File Server, apps server, etc.).
We have recently migrated from SBS 2003 to Server 2012 R2.
As part of this I had removed the SBS GPO that redirected user documents to the SBS server, so that all users' 'My documents' folders were back on each users' local hard drive. Last week I added anew GPO to redirect the users' documents folders back to a new server. I didn't include the Pictures, Videos and Music folders (because they are large and mostly personal rather than business-related).
A few days later, I also redirected AppData, Desktop, Favorites and Start Menu.

Since then users are complaining about a dialogue box that appears when a shortcut is opened.

The message says:
Open File
Do you want to open this file?
It shows the name, type and location of the file.
Options are 'Open' or 'Cancel' and there is a security warning/explanation at the bottom of the dialogue box.

Clicking on 'Open' works as it should, but it adds an extra click to every shortcut.

Can someone tell me how to overcome this?

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