This is not really an answer but it's too long for a single comment (and could use some paragraph spacing) ... forgive me if this is a waste of time. I wanted you to know someone did actually try to work on this for you.
...my thinking was, there's probably a registry key that controls it. So my gameplan was use process explorer to capture the key info, then create a reg file. Then create a batch file that would run the registry entry, close IE, and restart IE. Then I woke up and realized I was working with internet explorer and nothing would go smoothly. I disabled and tried to re-enable protected mode to try to get the key. Protected mode still shows as off. Googled and found it's a common issue, because I had UAC disabled. Re-enabled uac. Still didn't work. Googled some more and apparently I need to reset IE8's settings. Did that. UAC didn't pop up, and protected mode still off. Gave up because, honestly, screw IE. So I'm back here.
From what I understand protected mode does much the same thing as the specific security settings for IE. The difference is it also allows the admin to run specific activeX controls, in addition to blocking unwanted ones. If you don't really care about running your own controls, maybe it would be sufficient to just set IE8's security policies individually, and meanwhile leave protected mode off (the strict security policies work as a substitute).
You can set the policies in group policy editor, there are apparently over 1300 of them.
This page has a few highlights including something to do with the mailto links (probably no effect on your situation but you might get lucky):
I also found this possible workaround while googling.
- Add Send Link by E-mail to the Command Bar
IE - Right Click Command Bar (where
House - Full Screen - Tools and so on
are) Customize - Add or Remove
Commands - from left menu ADD to Right
Menu - Send Link by E-mail. This will
call up your default E-mail Client
with the Link in the body of the
- Add Snip-it to the Right Click Menu of IE.
E-Mail Selected Text in a Web Page
Using Snip IT Add-on for Internet
The Send Using MailTo calls up your
default E-mail client. You can add the
others as desired.