Just adding on to say I have the same problem.
There are lots of people complaining around the web that their Note won't connect via USB. This seems to be a problem with the phone and not just a case of someone who can't find the menu.
I have 2 Macs and 2 PCs, have tried it on all of them, installed and uninstalled drivers, switched cables, switched to a powered hub, tried Kies, tried Heimdall, tried Odin, USB debugging on and off, Bluetooth on and off, tried the "connect storage to PC" option. Before and after the XXLB1 update. None of it works.
I'm thinking the phone is broken.
I guess i have to try to return it, which is going to be a huge PITA. Especially if the new one they give me has the same problem.