So I added a door to Imperial city, linked it all proper and whatnot in the CS. Jumped into the game to try and see if it worked, and I don't get the door activation Icon...=(

Here's a video of the CS, I'll have one of the game once I shrink it down a bit.

http://s68.photobucket.com/albums/i36/Crystal_Amaia/Oblivion%20Construction%20set%20errors/?action=view¤t=TESConstructionSet2010-08-1108-29-41-98.mp4

Rather than give you an answer that may be wrong, go http://cs.elderscrolls.com/constwiki/index.php/Door.
But did you use an Activator door?

Perhaps you accidently placed it slightly BEHIND the static door included on that building mesh?