You can change your 'java.policy' locally.
But to use that in the cloud V3 (!) you need to file a support ticket. I don't know if Mendix is willing to grant this specific one.
EDIT: see Ronald's Comment regarding cloud V4 (https://docs.mendix.com/deployment/mendixcloud/mxcloudv4
I would refer to Schalk's answer on this question. This should fix your issue.
And here is another post that has some some good information about cloud security.
Also, if you want a way to test locally, you can just turn of the "emulate cloud security" option in your settings. (this will only make it work when you run locally)
The only thing that is missing in these answers is that Java security is no longer an issue in the V4 cloud. So the above is indeed true for local or the V3 cloud but not for V4 because security is not checked there.