Please try the following steps:
1. Click Start, type gpedit.msc and press Enter.
2. Locate to Computer Configuration -> Administrative Templates -> Windows Components -> Internet Explorer.
3. Double-click “Security Zones: Do not allow users to change policies” on the right pane
4. Choose “Not Configured” and click OK.
5. Restart the computer and test the result.
You can also delete the registry key “Security_HKLM_only” settings directly under HKEY_LOCAL_MACHINE\Software\Policies\Microsoft\Windows\CurrentVersion\Internet
Please get back to us if the above steps didn't help you to resolve the same.
Thank you :)