Hi Tamas,
Yes, this permission comes from Personas so that it can cache some data (like images) and also for clipboard access.
Once you have clicked "OK" for any server, it should not ask you again.
If it does, can you check the setting below. Right click within the frame. And you will see "silverlight" option. Click on that and goto Permissions tab.
Lastly, if this cannot be done due to limitation imposed by the IT, they can push these setting for all the users using group policy settings.
http://www.microsoft.com/getsilverlight/resources/documentation/grouppolicysettings.aspx
Scroll Down to "Isolated Storage" area..
Regards,
Sushant