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Internet Explorer has a non-standard P3P privacy policy implementation (what a surprise). This prevents cookies from being loaded in iframes.

Google Tag Manager uses an iframe.

Does this cause problems with obtaining analytics from users of IE?

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I have since realized that the iframe that Google Tag Manager uses, is not used all the time (I believe it is a fallback), but I didn't realize that until I reviewed the un-minfied source of the GTM tag. – adam-asdf Jul 1 '14 at 21:58

As you stated in your comment:

The iframe that Google Tag Manager uses is not used all the time. It is just used as fallback.

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It doesn't cause problems with obtaining analytics from users of IE, you'll get clear analytics.

iframes are causing problems for Internet Explorer users in general, but google tag manager is not using them all the time.

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