The system menu is missing inside the NX session when the Unity 3D desktop environment is launched instead of Unity 2D.
Unity 2D is the fallback for those X servers not supporting 3D graphics as it is for the X11 agent, nxagent. However, if the hosting machine has support for a 3D graphic card, Unity 3D is launched also inside the NX session.
Ubuntu 11.10 comes with a script, the Unity Support Test, to verify if the hosting computer supports or not Unity 3D. If yes, a file is stored in the /tmp directory.
In order to override this behavior and run Unity 2D instead of Unity 3D, it is necessary to delete the file created by the Unity Support Test tool inside the /tmp directory. This file has format /tmp/unity_support_test.X where X is a progressive number, for example:
/tmp/unity_support_test.1