I have seen this before and just launch “C:\Program Files\Avecto\Privilege Guard Client\PGSystemTray.exe" to get it back.

I would think you have other issues the Icon would typically only vanish in an upgrade of the client and not load on the initial install until after a first reboot. As Josh suggested launch the tray icon from the location provided. I think we have some sort of issues that you should raise with support if the Icon is not persistent after the upgrade and or a reboot going forward.
Check start up, the System Tray icon is present there, it can also be control what Apps is allowed on startup using GPOs
 

Does the agent installation require reboot? In our case on some machines it did not show the icon - on some VDIs it worked for elevation without the icon but on some laptops it is still showing windows UAC. All these computers show up in PMC console with status as up to date

The EPM Client does work without the Systray icon, On the initial install the Systray icon does not load until first reboot. Machines that still show a standard UAC policy has likely not applied yet.

if you are dealing with non-persist VDIs, I would recommend not using the package manager but do a manual install of the EPM Client and Console Adapter and update every 6 month on the “Gold image” You can install the Console adapter with a switch not to start it, allowing you to get the EPM Client fully installed and launch so the Systray icon load on each launch.
You can find the adapter under configuration and Adapter installation.
Set the Group ID to where from the Group your VDIs should reside in.

Hi @Jens Hansen Thank you for the details on non-persist VDI. This will be helpful in other use cases. I am having issue with computer where it showed the policy applied on console but no tray icon. On this machine it still showed Windows UAC. I am hoping its one off instance 

You will likely see one off on mass deployments, not likely a cause of the EPM Client itself but more likely to be the Client computer causing issues for the install. On those clients validate that both Adapter and Client is installed and running. check services, check comms to PM Cloud. then be aware the some webfiltering Zscaler and others can cause issues for the policy download also. use the KBs containing the URL allowlisting etc. along with 3rd party AV exclusions.

If you see persistent issues raise a ticket with BT support.