MSXML: Loading xml from a url non-asynchronously causes E_ACCESSDENIED

Trying to load xml from a url using msxml:

Setting .async to false (default is true) causes E_ACCESSDENIED error trying to .load from a url

var
    doc: DOMDocument60;
begin
    doc := CoDOMDocument60.Create;
    doc.async := False;  // Default is True
    doc.load('https://www.treasury.gov/ofac/downloads/sdn.xml');

Why would it cause an E_ACCESSDENIED exception?

Workaround

The workaround is easy:

var
    http: IServerXMLHTTPRequest;
    doc: DOMDocument60;
begin
    http := CoServerXMLHTTP60.Create;
    http.open('GET', 'https://www.treasury.gov/ofac/downloads/sdn.xml',
            False, EmptyParam, EmptyParam);
    http.send(EmptyParam);

    doc := http.ResponseXML as DOMDocument60;

Of course i'm not asking about a workaround. I'm asking why a workaround is needed in the first place.

Interestingly, while IServerXMLHTTPRequest works, and only supports synchronous loading, asking the DOMDocument60 to use ServerHTTPRequest synchronously does not work:

var
    doc: DOMDocument60;
begin
    doc := CoDOMDocument60.Create;
    doc.async := False;            // Default is True. Must be false if we use ServerHTTPRequest
    doc.setProperty('ServerHTTPRequest', True);
    doc.load('https://www.treasury.gov/ofac/downloads/sdn.xml'); E_ACCESSDENIED

It's strange that:

• using ServerHTTPRequest works
• but having DOMDocument use ServerHTTPRequest fails

Which is my question: Why does it fail?

It's not using Wininet:

• https://stackoverflow.com/a/7032086/12597

And even if it was using WinInet, the Internet Explorer option:

• Internet Options → Advanced → Security
• ☐ Do not save encrypted pages to disk

is unchecked.

So what's the problem?

It's a known Won't Fix bug in XMLHTTPRequest; which is based off WinINET.

The solution is to use ServerXMLHttpRequest; which is based off WinHTTP.

Which is why WinHTTP was originally created, to fix the bugs in WinInet.