Windows – Assign DFS share to intranet zone via GPO

This seems like it shouldn't be hard, but I haven't had any luck with either guessing or searching. I'll admit I'm no Windows guru, so forgive me if the answer should be obvious.

I'm trying to get Windows to stop giving me security warnings when I open files or links from a DFS share. I already have a GPO in place which does this for a couple of other network shares:

Policies
  Administrative Templates
    Windows Components
      Internet Explorer
        Internet Control Panel
          Security Page
            Site to Zone Assignment List

Here, I've added host1.mydomain.org and host2.mydomain.org to zone 1 (intranet), and the network shares from these hosts are correctly treated as trusted intranet sites.

However, I now want to add \\mydomain.org\shares to the intranet zone as well. Adding it just like that appears not to work (and on my client machine it appears in the list as file://*.mydomain.org). Other things I've tried include *.mydomain.org and explicitly listing the hosts where the DFS shares originate.

"Turn on automatic detection of the intranet" is also enabled, although I've never been clear on how that actually works.

Servers and DCs are 2008 R2 and clients are (mostly) 7 Pro.

Edit: The next day, it appears that the listing of mydomain.org is in fact having the desired effect. I hadn't logged out and back in during testing; I just did a gpupdate /force and confirmed that the GPO settings appeared in the Internet Options dialog. Is this a bug or just another arcane Windows thing that I don't quite understand?