We enabled the protection against the built-in system task killer in the latest update. There is a special API for this in Android 2.0+. This API always implies the icon on the status bar (by Google's intention).
This is a Google API limitation. They made it this way intentionally: if an app is important for the user (and EasyTether is important while it is enabled, otherwise the built-in task killer will stop it unexpectedly), the only way to protect against this is to use this special API.
You can disable the EasyTether service to hide the icon by using the USB checkbox in the application. Use the option select to disable, then uncheck USB when you're not using the app. You will need to re-enable it to be able to connect of course.