The "Do not save encrypted pages to disk" was enabled in IE under the Tools, Internet Options, Advanced tab or via Group Policy.
Uncheck the "Do not save encrypted pages to disk" setting.
By default, the "Do not save encrypted pages to disk" option is unchecked (except for Windows Server systems).
The purpose of "Do not save encrypted pages to disk":
In IE9, this option does exactly what it says it does—resources received from HTTPS URLs are not placed in the Temporary Internet Files Cache and temporary files are not created for these resources. This option is universal for HTTPS responses.
In IE10 or above, the option behaves differently. Instead of trying to prevent HTTPS resources from being saved to disk, the option will delete cached-from-HTTPS resources from the cache when the browser is closed. This helps ensure that the browser works correctly even when this setting is enabled.