DTBI760-IE11 - Browser must retain history on exit.
Delete Browsing History on exit automatically deletes specified items when the last browser window closes. Disabling this function will prevent users from deleting their browsing history, which could be used to identify malicious websites and files that could later be used for anti-virus and Intrusion Detection System (IDS) signatures. Furthermore, preventing users from deleting browsing history could be used to identify abusive web surfing on government systems.
Set the policy value for Computer Configuration -> Administrative Templates -> Windows Components -> Internet Explorer -> Delete Browsing History -> 'Allow deleting browsing history on exit' to 'Disabled'.