1. The only setting available is ‘Turn on ActiveX filtering’, for both Users or Computers configuration sections: Administrative Templates \ Windows Components \ Internet Explorer. This setting is not per-zone configurable, but you can use additional settings to specify by-site use, under each zone’s settings groups.
2. ‘…does not use an External Media Player’ isn’t a valid policy definition, but ‘Allow video and animation on a webpage that uses an older media player’ is there, for each zone. It looks like the setting name you give has been changed over time to the newer value I’ve given.
3. The correct name here is: “Allow active content over restricted protocols to access my computer”, and it’s also available per-zone, for Computers and Users sections.