Accessing data sources across domains must be disallowed (Internet zone).
The ability to access data zones across domains could cause the user to unknowingly access content hosted on an unauthorized server. Access to data sources across multiple domains must be controlled based upon the site being browsed. This policy setting allows you to manage whether Internet Explorer can access data from another security zone using the Microsoft XML Parser (MSXML) or ActiveX Data Objects (ADO).
How this relates to the STIG checklist: STIG vs SCAP benchmark.