O recurso, caixa de seleção para Show icon in task notification area when connected , você se refere foi removido desde o Vista por engenheiro de suporte da Microsoft (veja abaixo).
Como posso mostrar o ícone de rede na barra de tarefas, como no Windows XP - Microsoft TechNet
This feature has been removed since Windows Vista. We have reported similar feature requests to our product team. Thank you for your understanding. - (Source)
Lista de recursos removidos no Windows Vista - Wikipedia
A single icon in the notification area (system tray) represents network connectivity through all network adapters and/or internet gateways, whether wired or wireless and for all different types of connections. It is not possible to set individual connection status icons on the taskbar or hide some or all network icons altogether. (Source)