When you add a site with a two letter top and second level domain name, and include a wildcard, *.ab.cd, Internet Explorer adds an additional wildcard, *.*.ab.cd. This also happen when you add *.com, Internet Explorer adds *.*.com. When you press OK, the changes are accepted.
If you view these settings and see the improper entry, you can't delete it.
Internet Explorer interprets these entries as a top level domain (.co.jp or .co.ch), which isn't allowed in any security zone.
To workaround this issue, delete them from the registry. Use Regedt32 to navigate to both of the following keys and delete the offending entries: