This is happening in Visio 2007 (and 2003, I believe)
1. Import an Image, or place a Command Button on the Page
2. Open the ShapeSheet and insert a Controls section
In the drawing window, you won't see a yellow diamond where the control handle should be.
If you mouse over the position of the control handle, your mouse will turn to a cross-hairs cursor, and you can actually reposition the control handle, but you can't see it!