This message it typically observed in JRE versions - JRE 7u40 and above. This message will appear every time you launch form and each time end user will have to Click checkbox. Generating JAR files or application file menu will not help as this warning implies following -
1. You need to use code signing certificate to sign jar files.
2. You can have Trusted Certificate Authority(CA) to sign Java content securely which is of 2 types-
a. Official CA (needs to be purchased from official certificate authority like Verisign
b. In-house CA (needs more management and suitable for intranet environments)
In Older JRE versions, there was and option to 'Remember my Action' and it allowed you to skip this message every time you launch form.
Please refer -
Enhanced Jar Signing for Oracle E-Business Suite (Doc ID 1591073.1)
Deploying JRE (Native Plug-in) for Windows Clients in Oracle E-Business Suite Release 12 (Doc ID 393931.1)