I’m running IE 11.0.9600.17914 now and it does have tracking protection enabled. It is managed under “tools”, “manage ad-ons”.
I have Edge but only use it for high security connections, not for browsing. Mozilla’s SeaMonkey with adblock plus is the workhorse. When something comes up on SeaMonkey that blocking gets in the way, I just connect to the site with Edge to see it whole.