Is there an API or whatever which can reset Internet zone to its default value (like the arrow).
I didn’t find any method in IInternetZoneManager interface to do that.

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You may have to change registry settings from your code.
This would be a good place to start:
Zone numbers are:
0 = My Computer
1 = Local
2 = Trusted Sites
3 = Internet
4 = Restricted
You may have to copy the value of DWORD RecommendedLevel to that of CurrentLevel for Internet Zone 3 (which is Internet zone).
Reference: Internet Explorer security zones registry entries for advanced users
Have you tried using IInternetZoneManager::CopyTemplatePoliciesToZone method using dwTemplate equal to 0x00011000 which is the Recommended level?