TL;DR: Make the 404 redirect page longer so IE behaves, or change how redirects work.
Let's say you have a build with no test reports (eg, a cancelled build). Try to enter the testReport page:
Jenkins will perform a 302 Found redirect to
This will load a 404 page with the following contents:
<html><head><meta http-equiv='refresh' content='1;url=..'/><script>window.location.replace('..');</script></head><body style='background-color:white; color:white;'>Not found</body></html>
On Chrome and Firefox this will redirect to http://jenkins:8080/job/MyProject/1325 which is probably what you expected. IE will not. It will instead redirect to its own internal 404 page.
I think this page purports to tell why this happens. It says that the page needs to be 512 bytes or it's ignored:
The upshot is that it would be good if either both redirects used a 302 Found, or perhaps a simpler solution would be if the 404 meta-redirect had more content so that Explorer took it seriously.