Given there are two prompts that the document is trying to do something "different", and the second tells you explicitly it's trying to run an executable and provides a path, is this realistically exploitable?
Even if you've specifically asked that next time it happens they stop and read you the error, they'll click OK and text you "There was an error can you fix it?"
The other scenario where this kind of thing can be useful is poorly secured "kiosks", aka, you want to run arbitrary code but the administrator of that machine doesn't want you to. Macros can be disabled by group policy.
It doesn’t even come with red text and warning signs. Users don’t read this stuff and even if they do, it’s easy to explain the warnings away in the document or the email that contains it.
It is just stupid design and there is no excuse this is still in a supported application in 2017. But then again, what would you expect from Microsoft Office.
But then it's really not much better than spamming a .ps1 or .js script (handled by Windows Script Host by default), or even straight up executable as many already do.
If they're at that level then there's really not much you can do but avoid having them get the stuff in the first place.
So can this, it'd be fairly trivial to detect and block anything using DDE at the file level - however a common strategy is to send an encrypted archive file and give the password in the email to bypass that detection. Trashing all encrypted archives automatically.... ehh, maybe viable?