The settings in this zone apply only if the Intranet Zone is in 'lockdown' mode, such as when the Network Protocol Lockdown ...

"The settings in this zone apply only if the Intranet Zone is in 'lockdown' mode, such as when the Network Protocol Lockdown security feature is in effect. If the zone is locked down, these URL action settings do not override the standard Intranet Zone settings, but are compared against them. If the settings for that URL action in the two zones are the same, then that setting is used. Otherwise, the user is presented with an Information Bar, and may allow the zone to operate with the standard (non-lockdown) zone's setting."