Ubuntu 9.04 Jaunty Jackalope doesn't show the update icon in the system tray when there are updates available. This is because the update system was changed in Ubuntu Jaunty:

Ubuntu 9.04 introduces a change to the handling of package updates, launching update-manager directly instead of displaying a notification icon in the GNOME panel. Users will still be notified of security updates on a daily basis, but for updates that are not security-related, users will only be prompted once a week.

If you want to use the old update manager behaviour, open a terminal and paste this:

gconftool -s --type bool /apps/update-notifier/auto_launch false