Hello,
I replaced MENU.ML and added related .png files in TPA\PRESET\SYSTEM\MENU (my phone is a w380i).
The icons in themes coming with .thm + .swf are not affected by any change.
How the thing works for changing icons in such themes?
[ADDED]
Right, I had a look around and figured out that swf files are flash menus objects created with Flash studio.
I guess that when the thm file report: <Desktop_style Source="XXXXX.swf" Type="File"/>, then the menu.ml settings are overridden and the flash menu is used.
I solved editing the thm file using SE Themes Creator, making it leave desktop_style elements outside the theme, but probably deleting that line in the thm file could be enough...