Check here.Apparently, it's by design, or at the very least, maxis never gave it a thought. Your sims will always be "unemployed" unless they actually have a career of some sort (the ones you can get from the base game on up). Owning a business doesn't mean they're "employed", even though it does provide them a source of income.
In a way, it's not all that unrealistic. You could be a rich business owner and have the resources to never actually even see, let alone do any work in "the office". While you'd have plenty of cash, you'd not, in fact, have a "job" to do as it were, and hence, you could essentially qualify as "unimployed" -all depending on your definitions I suppose.
-Kitt