I found an answer here: http://www.cocoabuilder.com/archive/cocoa/202167-rating-style-levelindicator-not-showing-dots.html
Basically the control's cell needs to have its 'highlighted' property set to YES for the dots to show. Their solution involves subclassing NSLevelIndicatorCell; I found a simpler way that seems to work fine, which is to set the control's cell's highlight to YES when it's initially created, and after it's clicked and sends its action message. (You have to keep highlighting it because it loses the highlight after each click for some reason.)