specially this note that is highlighted near the bottom:
You cannot configure Internet Explorer 9 settings using Group Policy preferences. You can use Administrative Templates, or Internet Explorer Maintenance to manage Internet Explorer settings. For more information, see Using Administrative Templates, or Using
Internet Explorer Maintenance Extension.
there is no date for this article. however i also found this that has a hotfix:
Firstly, based on my knowledge, this Microsoft Hotfix cannot be applied to Windows Server 2003.
In addition, regarding Internet Explorer 9 group policy template, on each computer which Internet Explorer 9 is installed, the Internet Explorer group policy template (inetres.admx) is updated to the new version. You can find it in C:\Windows\PolicyDefinitions
and don't forget to copy the inetres.adml file from your language folder under C:\Windows\PolicyDefinitions.