All that info was just the base for policies. Policies are just registry keys, but are made in a way having in mind that it is less likely to kill your system (the oposite than editing the registry directly)
Tatoo are policies that are permanent in the system. To remove it, you have to apply another policy or edit the registry. Those are tatoo policies. Any policy not inside the location that I gave you is a tatoo policy, so the IE bar is a tatoo policy.
Did you run the resultant set of policies? too see if that gives you an idea of what happened. If it is grayed out it means it is not supported. SP2 could have some reason for that, since it structures a lot more IE behaviour. Think that MS is trying to avoid all that spyware installed and extra buttons on the IE interface.
I recomend that you delete the extra button. Leave that section on default. Then check your policies file version (adm files), run Windows update, and try again.
My logic from your problem is that the policy file (adm) was changed (probably updated) and that the new version doesn't support what you are trying to do in that specific way, so it grayes it out. The settings got imported when the adm file changed, but actually you are not working on the same policy.
I hope it is more clear