Anti-Malware programs against ActiveX controls must be run for the Trusted Sites zone.
This policy setting determines whether Internet Explorer runs Anti-Malware programs against ActiveX controls, to check if they're safe to load on pages. If you enable this policy setting, Internet Explorer won't check with your Anti-Malware program to see if it's safe to create an instance of the ActiveX control. If you disable this policy setting, Internet Explorer always checks with your Anti-Malware program to see if it's safe to create an instance of the ActiveX control. If you don't configure this policy setting, Internet Explorer won't check with your Anti-Malware program to see if it's safe to create an instance of the ActiveX control. Users can turn this behavior on or off, using Internet Explorer Security settings.
How this relates to the STIG checklist: STIG vs SCAP benchmark.