IIRC, you don't get this functionality for free. For example, the Advanced Backlight Applet toggles the icon based on the active/inactive state of the "menu." I can point you at the code if I must, but it's in there.

EDIT: Here's the call:

gtk_toggle_button_set_active (GTK_TOGGLE_BUTTON (priv->button), ...
There's other code to help set this up of course...