I solved in this way.
I modified the execution policy for the sql agent service account in this way:

   Scope ExecutionPolicy
   ----- ---------------
MachinePolicy  Unrestricted
 UserPolicy  Unrestricted
  Process   Undefined
CurrentUser  Unrestricted
LocalMachine  Unrestricted

this was not enough.
Finally I put into Internet Explorer trusted sites the network share (file://share.domain.org) where the script is saved.
Regards