It appears that Citrix and Terminal Services does not allow Internet Explorer Security Zones to be modified from inside a Citrix Session. We used to have a Group Policy that set our Zone settings, but for some reason did not apply to our Citrix or RDP sessions.
There was a fix I found on the net that uses a Group Policy Object to resolve this.
The setting is in Administrative Templates | Windows Components | Internet Explorer | Internet Control Panel | Security Page | Site to Zone Assignment List
Enable that policy and fill it with the sites you need.
1 = Intranet Zone
2 = Trusted Zone
3 = Internet Zone
4 = Restricted Zone
eg. http://soeteam.blogspot.com Value 1.
Means http://soeteam.blogspot.com will be added the the Intranet Zone. You will be able to see this within IE.
After I applied this Group Policy I needed to log onto the console of the Citrix servers and run 'gupdate /force'