I went experimenting, what I discovered was that this option is only available if the current site has trust. Try adding the site into trusted sites or Intranet under I was back in business.
Set the options in Internet Options
You MUST refresh the page for this to take effect.
The script option is available again. This was even though this site was on our intranet. Thus the automatic detection of Intranet sites in our scenario is not adequate.