It's normal when you add a new theme, nothing you can do about it. However, once you set your icons and folder in that theme, going back to it later seems to hold the previous setting, at least in my experience.
Say, for instance, you usually run the "L" theme. You have set all of your icons the way that you want with this theme, and you're satisfied. You decide one day that you want to take a look at the "Today" theme. The icon settings that you have for you "L" theme will not change if you move to the "Today" theme, or any other theme for that matter. Once you have set the icons how you want for the individual theme, they will not reset if you change themes. There is no way to carry theme settings across themes...
