Use another pdf viewer like okular.
This is NOT related to a security alert as the warning tells us! The feature "open a external link" is simply intentional removed from evince with the last changes they did. The given warning is totally wrong, it is definitely not that the "this document..."OP provided an answer as part of their question, so I am reproducing it is simply that they drop the code for open links.below:
This is NOT related to a security alert as the warning tells us! The feature "open a external link" is simply intentional removed from evince with the last changes they did. The given warning is totally wrong, it is definitely not that the "this document...", it is simply that they drop the code for open links.
 
                