Hello,
I had a user put in a ticket that the icon for her vaulted items was not showing. With some searching I found a hotfix and an April office update that should have addressed her issue. I applied both updates and he issued remained. After further research with the user I found how to reproduce the issue.
Her issue is that most of her vaulted icons show but there are some messages that are vaulted but the icon has not changed. I can search her vault and find the message and in the body of the message I see the blue line stating "This message has been archived". If you try and vault the item again you get the "Please select an Item" message. I know the message is being vaulted. I noticed the messages that did not have the vauled icon next to them show that the user had either replied or forwared the message.
This is the process that I can use on any computer to make the vault icon not appear. Double click and open a message. While you have the message open vault the item then forward or reply to the message that you have open. When the message is sent the icon will change from the vaulted or vaulting icon back to Outlook message icon. The only way I have found to fix the icon is to restore the item from the vault then vault it again.