Some of the themes do not have an icon made for that app therefore some icons go back to default. (this is what i am assuming...)
If you SSH into your iTouch, you can find the file with all the themes and see the icons, wallpapers and such...
Now, correct me if i'm wrong cuz i never tried this, but i am ASSUMING that if you add in icons / change icons, those changes will be reflected when you load that theme.
I will try it tonight and let you know if no one else has a definite answer by then.