This thread seems to have gone very quiet. All I want to know is this: Does this phenomenon only apply to me? If that's the case then I'll go away and try to find what element of my setup is at fault.
You're not the only one.
I have exactly the same problem.
The problem started for me when I upgraded from Windows 8.1 to Windows 10.
I have the latest version of Classic Shell installed and I have also tried if reinstalling Classic Shell would solve the problem. Well, it didn't.
The jumplist from the taskbar icon works fine, but when using the jumplist from Classic Shell, it tries to open a (cached?) file in the Internet Cache folder for Internet Explorer.
I must say that sometimes, after I go to a new site with IE (new in the sense that it's not in the jumplist yet), the jumplist entry for that site opens the corresponding URL correctly.
But this situation is shortlived.
Clicking the jumplist entry for a second or third time will try to open the file in the Internet Cache folder instead of the URL.