IE security zone assignment on 2003 terminal server

I am trying to assign a website to the Trusted Sites zone with Group Policy
-> User Configuration -> Administrative Templates -> Windows Components ->
Internet Explorer -> Internet Control Panel -> Security Page -> Site to Zone
Assignment List.

When the domain user logs into a domain member XP Professional system, the
setting is propagated as intended.

When he logs into a Windows 2003 member server, either locally or via
Terminal Server session, the setting is ignored and the site remains in the
Internet Zone.

This is the case whether or not Internet Explorer Enhanced Security
Configuration is installed.

If I run a Group Policy Results query for that user/server combination, the
policy appears to be getting applied, although it appears in the "Extra
Registry Settings" section.  I updated the adm files for that GPO to the
2003 SP1 versions in hopes of getting policy labels, but to no avail.
However, running a Group Policy Results query for that user/XP Pro system,
where the policy works, also places it in the "Extra Registry Settings"
section, so I doubt that's related.

Does anyone have any suggestions for me?  Thanks in advance.

Daniel Schmidt
dschmidt@buddyrents.com