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Thanks for getting back to me.
Sorry, should have been a heck of a lot more precise.
Actually, it isn't the log-in menu itself. People can log in using the Log-in block, which should disappear once you've logged in.
What I meant to ask is: Does anyone know what would prevent the User Menu from appearing on certain themes once a user is logged in? It's set to be visible to Registered Users and Webmasters in the Admin area.