Try changing your GTK theme. Some GTK themes don't allow icons in menus.

Date: Thu, 20 Oct 2011 21:26:54 +0200
Subject: [rox-users] no sendto menu items icon

Hi everyone,

this is my first post to the list. I like rox lightness and ease of use, I'm just facing a minor problem :
I'm simply using rox-filer with icewm (no Rox-session). I set some items in the sendto menu, but strangely they are displayed in the menu without icons while the icons are displayed when running rox-filer on an XFCE or GNOME session.
Anyone knows what I could do to get the icons with icewm ?