How to skip Safari's "Do you want to allow this page to open X" dialog?
Solution 1:
If the application you want to use is already running (or is in the dock), you can drag and drop the magnet link onto the application's dock icon to avoid the dialog.
There's also a discussion on the Transmission forum on this. The dialog that appears when clicking on such a link seems to be a Safari security feature that currently can't be disabled.