I am not sure. I suspect that the popup in question stems from the zorin-exec-guard-windows .bin file included in Zorin OS.
If you are confident in your understanding of differences between Windows .exe files and Linux apps and in your control over Wine or Zorin-windows-app-support, you could just Remove the zorin-exec-guard-windows from root /bin directory (probably saving it in a safe place elsewhere, just in case).