Although the GPO that sets Internet Explorer’s Trusted Sites is applied, it does not work to users connecting on a Windows 2012 R2 server (e.g., RDP)
Fix
First step
Disable IE enhanced security in windows server 2012 R2, launch the Server Manager, on the left hand side click on Local Server. On the right hand side click on the On link next to IE Enhanced Security Configuration. You will now see the Internet Explorer Enhanced Security Configuration
Second step
Change this registry key: HKEY_CURRENT_USERSSoftwareMicrosoftWindowsCurrentVersionInternet SettingsZoneMapIEHarden
from 1 to 0:
A rule has been created in the General Policy that sets this key for all users.
Use this FAQ at your own risk.
Make a backup of the Windows 2012 R2 registry before making changes.