Disabling UNC Path in Open and Save Dialogue

I try to disable the UNC Path for user

through the Policy under

User Configuration\Policies\Administrative Templates\Start Menu and Taskbar\Remove Run menu from Start Menu

I can prevent user from typing any UNC path in Explorer but they can still type UNC Pathin file open Dialogue and accessing the networks.

I think this is a bug on server ,

Any work around or any Idea how can I disable the UNC for the user (for some user and not for Computer)

many thanks