This is not an issue. This setting is default feature of SEP. You can view / change it from the setting. Below I am giving the details.

1. Go to SEPM console.
2. Log in to the SEPM console.
3. Go to Policy tab.
4. Click on Antivirus & Antispyware under view policies.
5. Right side you can see antivirus & antivirus policies.
6. Open that policy.
7. In left hand side, there is a tab "miscellaneous". 
8. There you can find this settings under "Internet browser protection".
9. Can change it if required.

Thats all. If feel this is a solution, please mark me.

Thanks.
Samiron