We had the same issue here when we first introduced software restriction policies but we did find a workaround.
We found was that if students ran the game inside of game maker (Run -> Run normally) it created the game exectuable in their user profile area which obviously failed to run due to the software restirction policies we had in place.
So we added a new path rule to '%userprofile%\AppData\Local\Temp\gm_ttt_*', this allowed the the game maker to create the executable and run it from this location. When they completed their games they created the final executable (File - Create Executable) and submitted it.
We explained to the IT department if they were executing the game from within the program and it worked then the final executable created would work also, as it is being created each time in their user profile when they ran it.