Found a solution using Office 2016 ADMX,
You can add the custom URI scheme to the following reg key:
1.
Click Start, click Run, type regedit, and then click OK.
2.
Locate the following registry subkey:
HKEY_CURRENT_USER\Software\Policies\Microsoft\Office\xx.0\Common\Security\Trusted Protocols\All Applications
Note In this subkey, replace "xx.0" with 15.0 for Outlook 2013
3.
Click the All Applications subkey.
4.
On the Edit menu, point to New, and then click Key.
5.
Type the name of the protocol that you want to exclude. For example, to disable the display of a security warning for the "Notes:" protocol, type Notes:.
Reference: http://seanofarrelll.blogspot.co.il/2014/11/outlook-security-warning-when-clicking.html