I'm having the same problem and am disappointed to have read all five pages of these messages over several months and still no fix from Apple.
I have the same requirements as some of the other users here--namely to open a batch of files at the same time--which this "security feature" is preventing me from doing because it wants me to approve each one individually. I used to be able to highlight a whole folder's worth of images and pop them open together in Preview or Photoshop. But I can't do that ever since I installed Lion a month or two ago. Now I have to approve and open each one individually.
I work in animation, so I need to open and quickly review multiple jpegs, pngs and/or .psd images sent to me by my trusted artists. More often than not, we shoot these files to each other over IM rather than emailing or YouSendIt-ing them. Sometimes we post to our ftp site. Regardless of how and where I got them and how much I trust the senders, image files are not applications, so something's amiss here that has nothing to do with the files themselves.