Yesterday I have fully updated a Lxde recent install and I just booted it now. I have looked at the menus : no problem. All icons are there.
The update shows one package available, it's hicolor-icon-theme (version 0.12-1pclos2011). I'll install it to see what happens and will be back right away to say if I see a difference after install.
/ I have updated it, and did logout/in, also shutdown. booted again, no difference : all icons are there and nothing has broken. I failed finding the source of the problem.