Right next to where the zone is shown are a series of six boxes. I always figured it was some UI anomaly caused by the fact that the would occasionally display some status in one of them: the phishing filter status while the page is loading. However, it turns out that four of the six are actually buttons. If you click the right-most one you get the Phishing Filter settings.
Double-click the next one and you get the Certificate Status dialog for the site you are viewing.
The next one does not do anything, but if you double-click the fourth one from the right you will get the IE Add-on Manager.
Finally, click once in the second left-most box and you get a menu to configure the pop-up blocker.
These buttons are still shrouded in mystery for me. I do not understand why they are active, but not there are no icons to show the user that. I do not understand why the user experience is different for them and some require double-click and others single click. Finally, the two that do not appear to be linked to anything seem superfluous. It almost smells like an easter egg, or like functionality that was not completely implemented and tested and therefore was “hidden” from the end user. Neither is actually particularly re-assuring from a security perspective. If anyone knows more, I’d like to hear about it.