The zone concept first appeared in Internet Explorer 4 (1997). It got prommoted to more prominent status in Internet Explorer 5. It was microsoft's attempt to model the web in discrete steps of trustworthyness/danger. Most other browsers use the white-list(trusted) and black-list(dangerous) method instead of zones.
What Internet explorer is doing is protecting it's zone concept by preventing a dangerous site from redirecting to a trusted site and doing some cross site scripting (XSS) when IE things it is at a trusted site. Really a IE specific XSS defense.
Google Chrome Preferences in the "Under the Hood" tab the "Content Settings..." allows you to set exceptions (white-lists) to the content restriction rules. This is a more fine grained level of control because you can set exceptions on a per site basis rather than for every site defined to be in a particular zone.