This is a bug that is being discussed in this post - Outlook 2016 C2R 'Unsafe attachments' warning pop-up. This is what Microsoft have said:
"I got confirmation that its the same issue and we have an open bug on it... meaning we know its issue and are investigating route cause/fix as we speak. For now, just click yes to send anyway."
So hang tight, I am sure a fix will be delivered soon.