Not sure why it's not working right then. It does have an option there, in my screenshot above, that allows you let it close when it finds no updates. Not sure on if you are actually seeing the icon in the notification bar quickly and then it's disappearing, or you're not seeing it there at all after a reboot.
From your post above, it sounds as if you might be seeing it quickly then it's closing.
I would suggest uninstalling it, then re-download a new installer of it, and install it again. See if it works correctly then.