Try checking the box to make it show. Then hit apply(if there), then hit OK. Then restart your computer.
For some unknown reason, when I connected to the internet today, the internet connection icon in the taskbar didn't appear.
I tried unchecking and re-checking the "Show icon in notification area when connected" box under my connection's properties, and the Customize Notifications under Taskbar Properties still lists the internet connection as "always show".
I willing to go into my Registry to fix this problem.