In cadet mode the player icon should always be shown.
However, independently of playing in cadet or veteran modes, the Mission Editor is set to be previewed in veteran mode.
It's quite strange if you're playing in cadet and the icon doesn't appear... :-\
In veteran you can always have the SetMarkerPos trick, a certain marker that's always over the player.
Check out your Difficulty options a see if you're not using an option that might remove the player icon.