When you attempt to open a project hosted on a UNC share (e.g. \\server\folder) you’ll get the following warning message box:

Project Location is not trusted warning

If you need to show this message again, but clicked the "do not show," you can go to Tools – Options – Projects and Solutions – General, and check the Warn user when the project location is not trusted checkbox.

warn about UNC share not trusted option

And for more information on why UNC shares are not trusted or what to do about it, here’s a pointer to the help documentation.