I opened up unity3d today, and I created a pointlight. I noticed that my pointlight didn't have the XYZ axis that allows you to move the object. For example, mine is missing the green red and blue arrows shown in the picture:alt text

Are you sure you have the Move mode selected (that 2nd-from-the-left icon at the top, highlighted in your picture). If it's the 'hand' icon you won't get them.