That was a feature in GTK2 (the GUI library we use) that was removed in GTK3.
We could try to fight the library and reimplement it ourselves, but it'd take a developer dedicated to do it. I miss the menu icons too. :(
It got deprecated only in 3.10 and you can compile against that and link it with the latest Gtk+ 3 library. I do this for my programs, because I don't like it when the widget toolkit ignores my OS settings.