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CSEs are components that generally will be executed with very high privileges on a domain machine during the GPO application. Hence, it is essential to ensure that every Client-Side Extension (CSE) contained in a GPO is sane and has been certified by a trusted party.
It is also crucial that all GPO files retrieved by domain computers originate from a safe place, before anything is applied.
You should remove unknown CSEs that are considered dangerous or add them to the whitelist if you accept the risk. The GpcFileSysPath attribute should point towards a safe location such as the SYSVOL share share.
Microsoft Open Specification on Group Policy Object
Microsoft Open Specification on Client-Side Extension
Additional explanations about GPOs and their dangers
MS15-011 bulletin regarding "UNC Hardened Access"
GPOddity: exploiting Active Directory GPOs through NTLM relaying, and more!
Name: GPO Execution Sanity
Codename: C-GPO-EXEC-SANITY
Severity: High
Synacktiv: GPOddity