Ivan,
You can also apply this fix through the Registry Editor and it will leave the user with access to add/remove sites under the Trusted Sites or Sites in Local Intranet. I tried the fix through GPO first and didn't like that as well.
You'll want to head to HKEY_CURRENT_USER\SOFTWARE\Microsoft\Windows\CurrentVersion\Internet Settings\ZoneMap\Domains in the Registry Editor and add your URL, UNC, or FQDN there. You will still see the Microsoft Security Notice pop up but I think that's a good thing as users should be paying attention to any links they receive and making sure it is a trusted link before opening.
Here is the link to Microsoft's page for IE security zones. Hope this helps.
https://learn.microsoft.com/en-us/troubleshoot/developer/browsers/security-privacy/ie-security-zones-registry-entries