yeah....
you know the icon only appears when you're connected to a wifi network right?
when you run mywi it disconnects from whatever network you were on to start an ad-hoc network, hence the icon disappearing.
I have mywi running on a 3GS, an iPhone 4, and an iPad and then icon always comes back after quitting mywi and connecting to a new network.
Let me guess, you're running the cracked version?