TBA - Notify user about possible proxy-bypass before opening external app
igt0 and I already discussed this, but I don't see a ticket for this. Torbutton currently does this when the user asks Tor Browser to open a file. I doubt we can continue relying on Ci.nsIHelperAppWarningDialog for this, so we'll likely need another method for catching this action.
I'm putting this into torbutton's component category for now, because that is where we catch this situation on desktop, but we may need to implement something directly within fennec, on mobile.