I think this is just bad user interface design. Simply put: Clicking the "DONE" button actually ENDS
home sharing session that you just created. Hence why it disappears from the sidebar after you hit
"DONE".
I wondered about this too, but it is so unlike Apple - and my further experiments show it isn't true. I have been trying to get Home Sharing to work with my iPad without success so far. However, to test it I configured my wife's MacBook Pro (OS X 10.6.6, iTunes 10.1.2) to access the library on my iMac (OS X 10.6.6, iTunes 10.2.1). The MBP library appeared on my iMac but no sign of the iMac library on the MBP. Then I connected the MBP via ethernet (previously it was wifi) and the iMac library appeared immediately. Clearly a networking problem in my router, which is a BT HomeHub.
With respect to the vanishing "Shared" in the iTunes sidebar - this disappears if there is nothing to display. If you click "Done" in the Home Sharing config screen, there is nothing to display so it goes away. When another system is online and sharing, that library will appear under "Shared". Both the iMac and the MBP are now displaying the other's library under Shared, after clicking "Done" - which is what you would expect.
I will post an update if I figure out what is going wrong with my network. I may end up switching off everything in the BT HomeHub (which is my ADSL gateway) and using my Airport Extreme on its own to provide the internal LAN. I suspect that will do the trick, but I would prefer to get it all working together.