Internet Explorer IE 11 - SharePoint Online - Microsoft Office Contact Retriever

We are on an office-365 tenant. While trying to access our internal office documents (Word, Excel etc) from "SharePoint Online" the user suddenly started to get following message. 

 

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Internet Explorer Security

A website wants to open web content using this program on your computer

The program will open outside of Protected Mode. Internet Explorer's Protected Mode helps protect your computer. If you do not trust this website, do not open this program.

Name: Microsoft Office Contact Retriever

Publisher: Microsoft Corporation

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Appreciate any ideas on why Microsoft's own environment (Windows-10, SharePoint Online, MS-Word) is warning against Microsoft's own programs (Microsoft Office Contact Retriever) ?