IE11: How to check into which zone a URL falls?

Solution 1:

In the menu bar, if you go to File->Properties. The properties dialog shows the zone for that page.

Solution 2:

This Microsoft created software will allow you to enter a URL and display not only the zone that falls into (including the local computer zone - there are actually four IE zones) but it will show the specific IE settings that would be applied. It's a great tool for diagnosing policy issues:

https://blogs.technet.microsoft.com/fdcc/2011/09/22/iezoneanalyzer-v3-5-with-zone-map-viewer/