Disabling GateKeeper indeed allows for opening jnlp files directly (after the browser downloads them).
However, although the jnlp:// and jnlps:// url-schemes are supposed to be registered in Mac OS out of the box (according to the official Oracle Java Web Start documentation), this doesn't seem to be the case.
The behavior I'm seeing is this:
In chrome on Mac OS - the link is not opened at all (nothing happens, nothing in the console).
In Safari - a message pops out saying no application is registered to handle the url jnlps://... with an option to choose an application. However, strangley enough, after browsing and pointing to Java Web Start, still nothing happens...
Very strange.