KB Article: http://support.microsoft.com/kb/977507

INTRODUCTION

When you connect to a remote application by using Remote Desktop Web Access (RD Web Access) on a computer that is running Windows Server 2008 R2, the Connected icon does not appear in the notification area.

Note When you first run a remote application, the Connected icon appears in the notification area.

WebSSO (Web Single Sign On) does not work as expected, causing a "double prompt" for credentials in applications launched via RemoteApps published via Remote Desktop Web Access in Windows Server 2008 R2.