I think ESET is aware of the issue, as Marcos has posted in this thread.
I have also had the missing tray icon once since I last posted in this thread, but did not discover the following until I had rebooted the next day and the tray icon was back.
I think I have found a way to get the tray icon back when it is missing. Egui.exe resists being killed from Task Manager or Process Explorer (access denied), but you can end the running instance that is supposed to provide the tray icon (at least when running Windows 7) by opening a command prompt window and entering "taskkill -im egui.exe" (without the quotes) and then responding Yes to the prompt "Are you sure you want to quit ESET NOD32 Antivirus?". Now if you restart egui.exe from the Start menu (Start, All Programs, ESET, ESET NOD32 Antivirus, ESET NOD32 Antivirus), the tray icon is created.
Larry