Video macOS Catalina allow directory access notification on video playback

I have the following problem, whenever I play a video in my game a macOS alert box pops up requesting directory access (in my case the game file is located under Documents so it requests access to the Documents folder). Regardless of what I click (allow or deny access) the video playback works in the game but I'd like to avoid the alert box from the operating system if possible, not very good user experience when something like this pops up during gameplay (also the game freezes a few seconds before displaying the alert).

My question how can I avoid this alert box? Some kind of neat import setting I missed? The video file I want to play is located in the Assets folder of the project, so should be bundled.