Disable desktop messaging RDS Server

Question

Is there a way to disable Desktop Messaging? 
 Users using the RDS server are getting messages involving others users. 
 The message is Access to location [website] was blocked for user [username] 
 Desktop messaging is disabled in the Threat Protection Policy.

StephenMcKay · Accepted Answer

Thanks Peter. 
 I believe this is the Malicious downloads. The safest way to confirm this is as follows: 
 Visit www.sophostest.com and try and access the 'Adult or Sexually Explicit' category. This should be blocked for the logged on user via a screen message but not trigger a notification pop up 
 Next scroll down and try the malware category, this will trigger a detection, trigger a notification and add an entry into the Web Threats events. 
 Stephen