(If I remember correctly, the gear used to be to the right of the progress bar in this picture.)
I've observed this on all the sites where I have accounts (namely, both Mathematics.SE and MathOverflow; on both sites, I am stuck tracking the next privilege).
I first noticed that it was gone when I reached the 10k privileges on Mathemathics.SE and then clicked "Track the next privilege" on my profile page there. However, it is gone on both Mathematics.SE and MathOverflow (and I haven't recently reached a new privilege on MathOverflow).
Update: I can toggle back to tracking a tag badge using the fix mentioned in Shadow Wizard's comment below. While tracking a tag badge, the gear to toggle back to tracking privileges is visible again, and I can use it to switch. However, once I switch back to tracking privileges using it, it disappears again.