This policy setting controls whether Outlook displays a warning before closing an item that contains an unsafe attachment ...

This policy setting controls whether Outlook displays a warning before closing an item that contains an unsafe attachment that will be blocked when the item is re-opened.To protect users from viruses and other harmful files, Outlook uses two levels of security, designated Level 1 and Level 2, to restrict users' access to files attached to e-mail messages or other items. Outlook completely blocks access to Level 1 files by default, and requires users to save Level 2 files to disk before opening them. Potentially harmful files can be classified into these two levels by file type extension, with all other file types considered safe. 

If you enable this policy setting, Outlook will not display a warning when users close items with Level 1 attachments, which could cause data loss. 

If you disable or do not configure this policy setting, when a user closes an item to which a level 1 file has been attached, Outlook warns the user that the message contains a potentially unsafe attachment and that the user might not be able to access the attachment when opening the item later. (Such a sequence of events might occur when a user closes a draft message that they intend to resume editing at some future time.) 

Important: This policy setting only applies if the "Outlook Security Mode" policy setting under "Microsoft Outlook 2010\Security\Security Form Settings" is configured to "Use Outlook Security Group Policy."