Checkbox for Tracking Protection

I am using IE 9 with Windows 7 Home Premium. I am experimenting with IE Tracking Protection on the IE Tools, Safety, Menu. I have downloaded one of the Tracking Protection Lists but I'm not sure it is being used even though it is listed as enabled. When I choose Tools, Safety, and then Tracking Protection I expect the checkbox to remain checked as it does if I choose ActiveX filtering in the same menu list. Why can't I see a check next to Tracking Protection in the Safety area?