I have always understood that the icon only appears when a USB (or other removeable)
storage device is plugged in. I have a Bluetooth device and a Wireless networking
device both plugged in to USB ports and the icon does not appear. As soon as I plug
a USB flash drive in, the icon appears. If I remove it safely (using the icon) then
the icon goes away. In fact if I just rip the flash drive out, the icon goes away.
This is normal, expected behaviour. Cheers. Spexx.