No Craig, that is the normal protected mode which has been present since IE8 at least. The Enhanced Protection Mode takes it much further and the setting is in the advanced Internet Options under Security. It basically locks down access to areas that the browser shouldn't need access to, like your personal information. It's not enabled by default because not all IE addons are compatible yet.
You can also see the option for Do Not Track which is enabled by default. This is a very secure browser and needs no addons to make it so. I do have the privacychoice tracking list installed though and it blocks almost all ads. Now Avast needs to make the Script Shield work with it and it will be perfect.