It is required to enabled Accessibility settings as well, inside the tree view item above.
Also, It SAP seems to show that Scripting module is not installed, that is certainly another reason you get that popup.
Your IT should be able to help on this one I guess (or Hope )
First of all thanks for help. Scripting module was already installed also Accessibility Settings were already set well.
I found the solution Problem was the UAC, Sap Gui should be installed by Local Admin User. Otherwise it throws error. Also developer user doesn’t need admin permission.