As part of Salesforce's Health Check, it is recommended that clickjack protection is enabled for customer Visualforce pages. However, it has been identified that if we enable that security setting then the out of the box lightning button for generating documents in mass will no longer work.
It is therefore recommended that a different button is available for running mass in Lightning so we can enable clickjack protection.
Furthermore, there are other pages of the Nintex Drawloop application that use Visual Force pages (e.g. the job queue status and other pages) that will no longer load/run when clickjack protection is enabled.