This policy setting allows the user to enable the SmartScreen Filter, which will warn if the Web site being visited is known ...

This policy setting allows the user to enable the SmartScreen Filter, which will warn if the Web site being visited is known for fraudulent attempts to gather personal information through "phishing," or is known to host malware.
      
If you enable this policy setting, the user will not be prompted to enable the SmartScreen Filter. You must specify which mode the SmartScreen Filter uses: on, or off.

If the feature is on, all website addresses not contained on the filter's allow list will be sent automatically to Microsoft without prompting the user.

If the feature is off or you do not configure this policy setting, the user will be prompted to decide the mode of operation for the SmartScreen Filter during the first run experience.