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.
I found the broken patch: e85a79a355ff40149669611812695aad87a1af8d
But it is impossible to build evince on my host, as building is related to gnome-builder. The gnome builder works but the build fails with millions of error messages. In a short: No chance to build gnome tools on a standard installation without being an exorcist. Why we don't have configure/make/install??? This gnome-builder gui is a nightmare!
OK, searching for other pdf viewers:
okular: This now displays external linked images inside the tool itself. This may help, but not in my case as I link to the first picture I search for.
firefox: did not open external links from pdf
gv: did not help as it misses so many features, it simply can't link to file local refs
mupdf: Yepp! This is the only tool which is currently working for me!
All this ends up for me in the consequence that I have to stop using pdf at all. If opening a link is blamed as a security issue, we should stop using html :-) I have no idea why such changes have a chance to be committed. Ok, our company now moves to html for all documents. That`s make the world not simpler nor saver.