Not a missing feature, maybe just unknown.
If you read up on how a theme structure looks like within a zip file you can accurately replace app icons based on the of app. You can take apart a big theme mtz to see how this is accomplished (Just open with winrar/winzip, it's really that easy). Icons packs are all over the web, check deviantart or customize.org to figure that out(or just take the icons from the theme you want). Make sure they're sized right, and whammy. Make sure you edit the description.xml file with a text editor. It shouldn't be too difficult to figure it out, once it's opened. Delete anything else that doesn't pertain to the icons (unless you want the other theme styling too). Finally push it to the /MIUI/theme folder, open it in theme manager. Apply it to just the icons, or apply the entire theme, it's up to you.
If you are to re-post your setup make sure you give credit to anyone's work that is to be included.
Good Luck, and let me know if you have any further questions. Plenty of theme documentation labels out the framework of themeing in MIUI, it's quite fantastic.