kses_allowed_protocols Filter

I am trying to allow the file protocol in the the Nav Menu editor. I placed the following code into my theme’s functions.php file but the file:/// link is still removed when I save the Menu.

 function rh_allow_file_protocol( $protocols ) {
	$protocols[] = 'file';
	return $protocols;
}
add_filter( 'kses_allowed_protocols', 'rh_allow_file_protocol' );

Any help would be appreciated. Thanks!