userscripts/scripts/steam-skip-urlfilter.user.js

// ==UserScript==
// @name        Auto-Acknowledge Steam URL Filter
// @namespace   .xyz.ishygddt
// @include     https://steamcommunity.com/linkfilter/?url=*
// @version     0.0.1
// @run-at      document-end
// ==/UserScript==

l=document.getElementsByClassName('url');

if(l.length==1)
  if(confirm(l[0].textContent))
    document.getElementById('proceedButton').click();