I just installed 10.5.2, and the modem icon now appears on the menu bar. The computer doesn't have a modem port, so I cannot configure the Network Preferences panel to not display the modem.
Might wanna check your bluetooth settings too. If you've connected your mobile phone to your laptop at some point then you may have allowed it to be used as a bluetooth DUN modem. Mine showed up after that too.
If not the case, and its due to 10.5.2......then there's prolly something else going. Yeah, I know...obvious