Hi Carlo and everyone else facing this issue on the planet,
better late than never 
In order to get rid of this annoying pop-up you have to go to Internet Explorer --> Tools --> Internet Options --> Security --> Trusted Sites --> click Sites button and then:
1.) Uncheck "Require server verification (https:) for all sites in this zone".
2.) Add "about:security_saplogon.exe" to the sites.
And then try again your scenario. The pop-up should not appear any longer.
Hope this helps & best regards,
Viktor