The presented behavior is actually by design in IE.
If a secure Web page uses frames and one or more of the frames does not load, either because you cancel the load or because the load request does not work, Internet Explorer generates the preceding error message.
This issue occurs because Internet Explorer determines that the successfully loaded frames are in the Internet domain and the internally generated error frames are on the local computer, and therefore sets the current zone to mixed. This triggers a security error message that alerts you that the page contains secure and non-secure items.
In this case, the error message does not indicate a security problem; the error message merely indicates that the page has not loaded all of the secure content fully.
You could see the kb below for more information on this error:
This Page Contains Both Secure and Non-Secure Items' Error Message
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