Run IE from the desktop and not through NAL, PDF's will load.
Run IE from the desktop, open up any PDF on the web, then load IE from a NAL shortcut via the NAL window, PDF's will load.
As a workaround to the issue, it as identified that changes to the Environment variables set for the application. Applying the workaround by setting the USERPROFILE Env Variable as shown below, the issue seemed to be resolved.
It's all about the USERPROFILE Env Variable.
App object / Run options / Env. Variabables
USERPROFILE - %*UserProfile%
TEMP - %*UserProfile%\Temp
TMP - %*UserProfile%\Temp