“I found that this only hap­pened if I had both the Start Orb when Win­dows starts (on by default) and Run Orb when Im not logged in (off by default) check­boxes ticked in Con­fig­u­ra­tion -> Advanced.

Start Orb when win­dows starts appears to run the pro­gram when you login under a user account. Run orb even when Im not logged in cre­ates a Win­dows Ser­vice. Since the ser­vice will start up first, it should suc­cess­fully serve media in the back­ground. When you login, a sec­ond instance of the pro­gram runs in your user ses­sion and will there­fore show the grey arrows icon as you cant have two instances run­ning simultaneously.”