>There is a setting in XP that prevents items in the system tray from removing themselves when they become inactive. Maybe if you turn that on (thus preventing the removal of the inactive icons in the system tray) - the bug will go away???

I have the same situation today. This time, it was several days since the last time I used the VPN. So, I clicked on it and found that immediately it was not shown. So, it doesn't seem to be related to the amount of time the icon could be active.