Thanks for answering back!
That dialogue box isn't supposed to appear when running the game. At least I haven't ever seen it when running any Unity game.
Based on what I read on several forums, the problem is (probably) caused by an app called "Citrix Worspace". Here is a post explaining it in more detail and how to solve the problem (https://support.paradoxplaza.com/hc/en-us/articles/360019138814-Citrix-Workspace...)
If you do not have this app installed, let me know so that I can investigate further.