Zero-width joiner won't join

I think the zero-width joiner (ZWJ, U+200D) should join
regardless of typeface. But Internet Explorer 8 won't join
if the ZWJ is taken from another font than surrounding text.

In MS Windows, the font Mangal contains the zero-width joiner
but not Arabic letters. When I specify "font-family: Mangal"
then Internet Explorer 8 takes the ZWJ from Mangal but
Arabic letters from another font and the result is non-joining.

See the attached file zwj.html.