This message can appear in different variants in any MMC console.
One or more ActiveX controls could not be displayed because either:
1. Your current security settings prohibit running ActiveX Controls on this page, or
2. You have blocked a publisher of one of the controls.
as a result, the page may not display correctly.
It can be just a warning or it can prevent you from using some functions, i.e. you will not be able to see a list of services in Windows Services console
The issue has nothing to do with IE security, however, it is very close to it. You need to delete 1 parasite zone from
The one with a square instead of number, right above the Zone 0