Yes, the tray icon control does not work on OS X. The reason for this is that this would have to be done in a Mac-specific way. Unfortunately, ken is the only mac dev we have and he has been very busy with other responsibilities for some time now. Because of that, his current contributions focus primarily on bug fixes rather than on would-be-nice-to-have features on the Mac.
So the bottom line is, yes, it's a little clumsy to change the bandwidth limits through the preferences dialog, but unless we find someone who would implement this feature for OS X, we are stuck with how it currently works.
Btw, what I personally do is to use a simple amulecmd script to change my upload bandwidth limit (usually I only change it from 40 to 20 and back, so i don't have to touch the download limit, but you can easily add that as a second parameter). This "aspeed" script looks like this:
#!/bin/sh
/Volumes/IncomingHD/-amule/aMule.app/Contents/MacOS/amulecmd -c "Set BWLimit Up $1"
Then I can just type e.g. "aspeed 20" in the terminal and the upload limit is changed to 20kb/s.