This problem can be solved by upgrading your application to at least Mendix version 5.16.1. In Mendix 5.16.0 Mendix solved the cookie problem with IE. It will result in a popup message to the end user that the application needs cookies. Do go for Mendix 5.16.1 since this is a hot fix for 5.16.0.
I think the redirect caused the problem. We work cross-domain from http to https, perhaps that has something to do with the problem. I solved it by simple adding a single refresh into the javascript for the Iframe. //Reload the page for IE window.onload = function() { if (document.all) { if(!window.location.hash) { window.location = window.location + '#loaded'; window.location.reload(); } } }