This is a known bug [Oracle JRE bug][1] with Java 8 update 40 on a Mac with Mac OS X 10.10 Yosemite.
See here:
[https://stackoverflow.com/questions/28865399/osx-blocking-jnlp-launch-java1-8u40-anyone-know-why][1][https://stackoverflow.com/questions/28865399/osx-blocking-jnlp-launch-java1-8u40-anyone-know-why][2]
Either downgrade the JRE (not recommended) or use this workaround:
> A workaround (if you can control the client Java settings) is to add "-Xdebug" in Java Control Panel -> Java -> View... -> Runtime Parameters.
[1]: https://bugs.openjdk.java.net/browse/JDK-8074668
[2]: https://stackoverflow.com/questions/28865399/osx-blocking-jnlp-launch-java1-8u40-anyone-know-why
