This is a very interesting situation and one that didn't, for me at least, bring any clear-cut obvious answer. Here is what I found.
First, I created a very similar setup to yours. I connected my iPhone to my Macbook Pro and tethered USB. I had to forget my current wifi network so that I could actually share over my computer's wifi. So, first, double check that your computer doesn't have an active wifi connection (I couldn't tell from your screenshot). A MacBook Pro cannot receive and send a wifi connection - it is a one way street.
I then tried creating a network from the USB connection. This did not work. I then connected my ethernet cable and confirmed that internet sharing worked fine and it was just something about the USB that was problematic. I next proceeded to test Bluetooth tethering. I connected to my phone solely over Bluetooth and once again the computer created a wifi connection. (By the way, the wifi icon changes to a block of gray with an arrow pointing up when the sharing is working). I confirmed on my iPad that it created a perfectly good, and connectable wifi.
I went back and connected only through my USB connection and once again, the computer would not create a wifi. One thing to note about working with this is that there really aren't any errors. If it doesn't work, the only real way to tell is that it won't create a network. While that is fairly obvious, it would be nice to have some error saying why it won't share the USB connection.
The only thing I didn't try was rebooting, but I just started the computer this morning as it was shut down last night, so I see little chance that would work.
In conclusion:
I suggest that you either tether over Bluetooth (and sacrifice some speed, potentially), or just use your iPad to share wifi and Bluetooth.*
* I'm a little curious why you don't do that anyway, but that doesn't matter.
personal hotspot without WiFi
- Activate Personal Hotspot in Settings
- Disable WiFi
iOS and OS X devices will use Bluetooth when possible over WiFi, so no need for the above.
Best Answer
I just realized that the iPad was not showing in the Finder. I rebooted the iPad, now it shows in the finder and the connection started working.
I suppose then that it is/was a problem with the connection between the two devices, rather then the tethering itself. I will monitor the behaviour in the next days.