Note that not all themes are complete with window border and/or icons. Some are just one of those.
What you do is that you go to "Control Center" and "Change Theme", choose "Custom" and then click on "Customize":
and there you choose the combination you want of "Controls", "Window Border", "Icons" and Pointer".
Another tip, if you choose an icon theme that is missing some icons, which happens often for applications, note that not all icon themes have icons for everything and all applications. What you do is to edit the theme's index.theme file and place the names of other icons sets you like in front of "Inherits=". In example:
This will tell the computer that if no icon is found for a request in the icon theme, it will move on searching for that icon name in the first icon theme named at "Inherits"; if still none is found there, it will search the next one and so on.
With this you'll no longer have missing icons.