This is kind of annoying as it doesn’t check i the settings are already configured and a normal user doesn’t have permissions to turn it on as it requires local admin permissions. So after a little Regshot usage, the registry value that is set after you press close is the following: HKCU\Software\Microsoft\Windows Defender\UIFirstRun with a value of 0.
So by using a script or a Group policy preference as shown below we can disable that end-user dialog. I haven’t found it in the group policy settings for Windows 10 1607 which I think it actually should have been. Enterprises will want to turn this of. I hope that can be useful!