Turn on SmartScreen Filter scan option for the Restricted Sites Zone must be enabled.
This policy setting controls whether SmartScreen Filter scans pages in this zone for malicious content. If you enable this policy setting, SmartScreen Filter scans pages in this zone for malicious content. If you disable this policy setting, SmartScreen Filter does not scan pages in this zone for malicious content. If you do not configure this policy setting, the user can choose whether SmartScreen Filter scans pages in this zone for malicious content.
How this relates to the STIG checklist: STIG vs SCAP benchmark.