I see what you mean. It is kinda weird. I went to all the other tabs except for the Security tab. And the Apply button was deavtivated. At last I went to the Security tab, and then the Apply button activated. Pretty sure, this should be a bug. Well done! You noticed that!
BTW, I found a similar bug in Windows Media Player 8. Same kinda problem related to the Apply button. But now in Windows Media Player 9, it is fixed.