Hi there, just bought FSX:SE along with rex4 and when installed no icon appears.

 

SOLved

In your FSX folder, there should be a folder called Dlc. Inside this folder will be folders incredibly inconveniently named as numbers. Have a look in one of them ( You will only have multiple folders if you have bought multiple dlc's, if you have only bought rex, then you will only have one numbered folder). It should be in there somewhere.