Since this is an iexplore key, I would not expect 3rd party applications to be affecting this location.
I would therefore deduct from logical reasoning, that the most logical areas for it to be within must either be something like DNS Cache under System, or some key under Internet Explorer.
I could be wrong about this, but since I do not see AllowedDomains on my computer in the location specified, I am unable to test.
It is certainly being cleaned on my system. presumably that could be some of the options I have selected, but I cannot see which ones.
Sadly the only way to figure that out is to try each option you have checked off individually. Start with the most likely (Internet explorer options) right click an option and choose clean. Then check the registry for the missing item. Continue until you find which one does it. You may wish to export the registry entry before beginning to make it easier to recreate once you've found the item causing the issue
Post back here once you've figured out which item it is