All versions of Java 8 update 20 and newer have removed the Medium Security Level. The only options now are High and Very High. Adding a site to the exception list will still allow unsigned applications to run. See the following webpage for more information:
The exception file entries and the prompts associated with them are stored in these files under "%USERPROFILE%\AppData\LocalLow\Sun\Java\Deployment":
If the same sites need to be added to a large number of computers or thin clients across an organization, you can use Group Policy to copy these into the user’s profile at logon.