The pop up in your screenshot looks like it's coming up in their eMail client, but yes...the GSuite admin should be able to whitelist the MS tenant domain. I'm not certain if that will resolve the issue, but it seems like that's what's at the root.
There's also a setting in GSuite that turns off the url protection, but they probably want to keep that on. Have them try it out, and if it doesn't work, we'll chase down another path.
-Ed-