Hi UN,
Very good question, because it's one that comes up from time to time.
What's missing is a default sort order for the browse. In other words, when you open the browse, none of the visible columns are actually the current sort order. If you click on a column header, and hence set a sort order, then the locator appears.
It's a good idea therefore for you to set a browse column to be the default sort column - which can be done on the "sort" tab for a browse column in the properties.
cheers
Bruce