Ohh, looking through the code, this is actually a bug in my mind.
In public_common.pl, the following code is in $show_logout_noreg...
if(haspms > 0) {
document.writeln("<" + "b" + "r />");
document.writeln("<" + "a" + ' href="$ULTIMATEBB{"ubb=my_profile"}">' + "$pmnote_one " + haspms + " $pmnote_two<" + "/" + "a>");
} // end if
No where does it add the image. The image is however in $show_logout