A server can be in your windows trusted internet locations, or not. A file downloaded from an untrusted location is marked; that mark shows up in the windows property dialog and can be cleared. JMP attempts to clear the mark when you set the checkbox to run the file. Possibly there is read-only issue.
Pretty sure the file will be one or more of the JSL or JMPAPP files in the addin, not the .addin file itself. It's been a really long time since I looked at this How to disable JMP security warning
Craige