Generally, the agent will automatically add a share to the trusted sites list in order to enable windows features to work with shared drives. Logging in and out will fix this problem.

If you have configured a group policy that defines the Site to Zone Assignment List, than you will need to add the share to that list. In order to do this, find the group policy configuring the setting, and add file://(your share domain)@ssl, and set the value to 1. You can find this by opening profile, and clicking manual mount. You will see the URL for the share on top.

Doing this will prevent windows from treating the share as an unknown external resource.