Thanks for your post which prompted me to investigate things further. I discovered by chance that you can get the cog back simply by clicking on the link for the glossary name ('Glossary' in your screenshot).
Thus, it seemed that the cog only disappeared when you tried browsing by category or using the index etc.
I tried with several display formats (not just simple, dictionary style) and each one had the same problem - as soon as you try browsing by category etc. the cog disappears.
You're welcome to try it out on our school demo site here: https://school.demo.moodle.net/mod/glossary/view.php?id=650 (log in as a teacher).
I created a bug report - MDL-64856 - for developers to investigate and fix.