Why is the Location Services icon always present?
It's a new feature in ios 5 called "region Monitoring"

The reason it's active even if the app is closed is that this feature runs in iOS 5 core and notifies all apps that are registered when they have entered or left a specific geo-fence.

Reminders does that when you use a location based reminder.

Although the location icon appears at all time. This actually has very minimal impact on the battery due to apple really optimizing this feature by using cell and wifi mostly.