Put yourself in the user's shoes, the technical reasons why what I am about to descibe really don't matter from the user experience (UX) perspective.
When you look at the Administrative Tools folder, of the 12 items I have on my Vista Ultimate box, only 4 show the Windows Shield icon indicating running this is going to require you to Cancel or Allow/Continue (Sidebar: Why can't we have one dialog here? Do we really need two different ways of saying the same thing?), but everything you run here shows a UAC dialog, and the same kind at that! What the frak is the point of having an indicator showing an action is going to require an authorization if it doesn't show all actions that are going to require a authorization? How can this not even be correct in Administrative Tools, which you logically should assume require Administrator rights, but Vista can't even tell us this?!?! Where is the consistency?
Check out previous posts in my Annoyance series.