One possible cause is if a firewall is blocking Windows Explorer from accessing the internet.
Nothing in my applications list looked obviously related to Smart Screen, so when I had this error, I went through my firewall settings MS application by MS application. Windows Explorer is the one where it didn't work before I created an exemption allowing it to connect, and did work (or at least, didn't give this error) after.
(note: this is Windows 8.1, it might be different in Windows 10, but it's something to try)