We don't know why, but for some systems this additional step is required before the indicator will show (thanks to Bruno Pereira!) You may also need to whitelist the indicator Once Skype 4.0 is in the Ubuntu repos, you can install from there and this will no longer be necessary. The reason this step is required is because sni-qt is installed automatically by the Ubuntu repository Skype package, but NOT by the Skype deb you directly download.
Install sni-qt (click on the link), or with sudo apt-get install sni-qt sni-qt:i386 from the terminal, and then restart Skype.
