This behavior is expected. It is a security warning from your browser.
Do one of the following:
Mozilla Firefox - Select Remember My Choice For AAM Links. Click OK.
Google Chrome - Select Remember My Choice For All Links Of This Type. Click Launch Application.
Internet Explorer - Deselect Always Ask Before Opening This Type Of Address and click Allow. If you have Protected Mode enabled, then you see a second dialog box. It could appear before or after the other. In the dialog from Protected Mode with a yellow banner, select Do Not Show Me The Warning For This Program Again. Click Allow.
After completing these steps, the Creative Cloud Desktop application opens directly.