I've had that problem when playing with MobaXterm. If I launched the desktop remotely (using lxsession) before ever having launched the desktop directly on the Pi, the lxpanel
(what you're calling the start menu bar) would be missing. If I launched the desktop first, the panel would show up both locally and remotely.
I'm guessing it has something to do with some missing display parameters when LXDE is first launched remotely that causes it not to configure the panel properly, but since I was working from a new image I ended up just overwriting it with a fresh image instead of spending time trying to fix it.