Hi there,
Did you have some policy applied for security zone? check policy under Computer Configuration, Administrative Templates, Windows Components, and open Internet Explorer, in the right pane of Internet Explorer, double click/tap on Security Zones: Do not allow users to change policies, check if it has been enabled, it might be enabled by system admin or domain admin.
You can also follow up the troubleshoot in this articles too
--If the reply is helpful, please Upvote and Accept it as an answer--