Jim one of my students from this week’s Windows 7 6292 class, asked a great question.
"We know applocker will prompt the user that the application is denied when a user matches a rule criteria set, but can we customize the message at all?"
I posted the same question to a few private groups and got this response from a MS employee…

The description "This application has been blocked due to policy" in the popup dialog box may be hard-coded. I will submit the issue to our product team and inform you here if I get any update.