Allow user to add/delete sites to IE security zones

I have a GPO to add sites to IE security zones. For some reasons it does not allow users to add sites to IE security zone. I have "Security Zone: Do Not Allow users to add/delete site" set to 'Not Configured' and "Security Zone: Do not allow user to change policies" set to 'Not Configured' in domain GPO for Computer configuration.

What causes the option allowing users to manually add sites to IE security zone grayed out (disabled)? How do I fix it? thanks.

I followed this link https://social.technet.microsoft.com/Forums/en-US/63bde102-b822-42a6-8de5-0f364ce7db46/howto-manage-ie-security-zone-settings-and-sites-via-group-policy-and-allowing-user-changes?forum=winserverGP

but I could not locate 'Internet Explorer Maintenance' at User Configuration\Policies\Windows Settings\ !

Thang Mo