We moved the zone information from the main view to keep the look and feel clean, as most users don't need to see this. For troubleshooting purposes go to file menu and choose properties, where you'll be able to see the zone and protected mode information.
Or, you can also display zone information with a right mouse click on the page and then properties.
Reference: http://social.technet.microsoft.com/Forums/en/ieitprocurrentver/thread/f44db5aa-5148-4e7b-9e0e-ce7faef17b55