Warning: These files can’t be opened CtxMTHost.exe

When opening an application through Citrix StoreFront you get the warning:

These files can’t be opened
Your internet security settings prevented one or more files from being opened.
C:\Program Files (x86)\Citrix\system32\CtxMTHost.exe

Solution:

On the Session Hosts that hosts the application, open regedit and load the NTUSSER.DAT hive of the default user:

When navigating to the key Computer\HKLM\<loaded hive>\Software\Microsoft\SystemCertificates\Root\ProtectedRoots, the sub key Certificates is not visible.

Take over Owner rights of the ProtectedRoots and grant Authenticated Users Full Control. Afterwards put back the Owner to SYSTEM.

The sub key Certificates will now be visible and the error will be gone.