It could be a number of things, here is a post about it and a part that stood out to me that might be applicable:
https://www.whitehatsec.com/blog/internet-explorer-xss-filter/
In the simplest possible terms, the problem is that the anti-XSS filter only compares the untrusted request from the user and the response body from the website for reflections that could cause immediate JavaScript or VBScript code execution. Should an injection from that initial request reflect on the page not cause immediate JavaScript code execution, that untrusted data from the injection is then marked as trusted data, and the anti-XSS filter will not check it in future requests.