It’s not a bug, this is by design per Windows 7 UI guidelines that Microsoft was following.
If you want the previous behaviour, bring up the properties for msnmsgr.exe or the shortcut, choose the Compatibility tab, and switch Messenger to be in compatibility for Vista. As Messenger will think it’s running on Vista, the notification area icon will be created.
This will also remove the Windows 7 taskbar features for Messenger, but you should be able to restore them using the WLM Taskbar Features Plus! script.