I have a terminal 2012 r2 Terminal server using IE 11. Our GPO settings are all working to manage IE settings except for the Site to Zone Assignment List. All other servers/PCs are picking up the settings. The settings are grayed out with no entries.
The settings are listed under User Configuration -> Policies -> Administrative Templates : Policy definitions (ADMX files) retrieved from the local computer. -> Windows Components -> Internet Explorer -> Internet Control Panel -> Security Page
We recently move our GPO's to a 2012 server as well but they are still working on all other systems besides this one.