Most 3rd party Android apps may also need certain system applications to run alongside. While whitelisting the apps in Kiosk mode, you have to also whitelist these secondary system apps. You can hide the app icons of these secondary apps as there is no reason to launch them directly.
Here, the third party app you are running, when it’s trying to access a file stored on your device, it’s the system application, com.android.documentsui that provides an interface for picking the file. Even though you have whitelisted your app, you have not done so for this system app. That’s why it’s being blocked and you’re running into this error.
So, here’s what you do.
Add Documents UI (com.android.documentsui) to your App inventory
Go to Admin > App settings > Apps
Click on the Add Apps button and select With Bundle ID
Type in a name say, Documents UI and copy paste the Bundle ID com.android.documentsui
Click Add. It will now be available in your App inventory
Here’s a screencast on adding apps by their Bundle IDs
Whitelist it in Kiosk
Go to your Kiosk policy and whitelist the system app, just the way you had whitelisted the third party app.