I had just about given up and decided to ignore the problem, in fact I thought I had posted a reply to that effect.
Then I found the the solution (of sorts).
I now have it working the way I wanted ... BUT I had to switch to a different theme (I was using VS2010)!
I switched back to VS2010 and all is still OK.
I am not sure of the exact sequence and steps required. I tried reproducing and sometimes it was OK sometimes not.
I was not too careful of noting my steps exactly.
Anyway it seems related to use of the VS2010 theme, or possibly just switching themes helped.
I hope this is of use.
Anyway, I am satisfied for now.
More similar strange behaviour:
1. Switch theme from VS2010 to Office 2010
==> icons appear on all tabs
2. Switch to other themes
==> icons remain
3. Options Take Command / Tabs
==> Tab Icons check box is unchecked
4. Check then uncheck the checkbox (Apply) (even when in Office2010 theme)
==> icons disappear
There seems to be some "overflow" from the theme setting to other settings.
Hope this helps.