I see a ton of postings on the web about IE9 ignoring group policy pop-up blocker exceptions, but I'm having the same issue with IE11.
The policy settings I have attempted to use is called "Pop-up allow list", which is enabled and lists my site in the form of "http:// mysite.com" (excluding the space after //, which I've added only so this message would post).
Afterward, I can see on a Windows 7 test computer that a registry entry has been made in "HKCU\Software\Policies\Microsoft\Internet Explorer\New Windows\Allow" for the site I wish to exclude. I take this as proof my group policy setting has been applied. But, it has no effect. The site still doesn't work, and the URL is still not listed in the pop-up exceptions list in IE.
I also tried using the same Group Policy setting under the computer policies, which likewise resulted in a new registry entry in "HKLM\Software\Policies\Microsoft\Internet Explorer\New Windows\Allow". This also fails to work, and does not result in the site in questions appearing in the exception list.
In looking through the registry, I see that any manually added pop-up exceptions are stored in "HKCU\Software\Microsoft\Internet Explorer\New Windows\Allow". If I manually add my site here, or via the IE gui, then the site works as expected.
What am I missing here? Am I doing something wrong, or is this a bug?