Q: no airplay icon in menu bar

Welcome to Apple Support Communities

You will see the AirPlay icon on the menu bar by two reasons:

1. Your computer is compatible with AirPlay Mirroring > http://support.apple.com/kb/HT5404

2. Your computer has detected an Apple TV in the network.

If both things are done, you will see the AirPlay icon. You can see which Mac you have got in  > About this Mac > More Info. If your computer isn't compatible, you can use an application like Beamer or AirParrot

I found out that the built in firewall interferes with AirPlay (which I know is weird).

Try turning the OS X firewall off using System Settings -> Security. If AirPlay now works, turn on the firewall and add "coreaudio" to the list of exceptions. This worked for me.

Coreaudio is the system driver for audio.

How old is your computer?  Only certain machines (2011 and newer?) have the necessary hardware to run AirPlay.

it maybe an error due to a VPN client. My airplay icon was missing, but after uninstalling checkpoint secureclient vpn (https://supportcenter.checkpoint.com/supportcenter/portal?eventSubmit_doGoviewso lutiondetails=&solutionid=sk69622#Client%20Downloads) its working again