Another user just noted me this frequently happens after using a (Juniper) VPN connection.
No issues come to mind... it sounds like a case of our shstat.exe process (which controls the icon) is out-of-sync with the Mcshield.exe process (our real-time scanner service).
The workaround steps you take forces a resync.
Interested in using VSE 8.7i? It has had some changes/improvements in the icon area to take advantage of newer Agent functionality.