"Modern Style with icons" to be specific, yes?
Yes, that is the substyle I am using. For Compact Modern, Compact Grid, and Grid Modern with Icons substyles, the Start11 menu also displays the same missing or incorrect icon.
I see your example, but it is does not show the same thing as my problem. The only icon that doesn't work for me is the Download folder (non-standard location) when added from the Standard Locations menu tree but not the wrong icon if added from the Custom Location menu.
My suspicion is that this is related to having my Downloads folder pointed to a non-standard location. I have most of my standard folders pointed to a location under OneDrive but, since I don't want Downloads taking up OneDrive quota space and don't need the same cloud presence for them, my Downloads folder is located at D:\Users\[Username]\Downloads, which is not the default location. I have another application that insists on creating its files under C:\Users\[Username]\Downloads, even though that folder doesn't exist until that application creates them.
Again, I can add the correct icon to that folder and it will appear correctly until a system restart, at which point it reverts to the missing or default folder icon (alternately, depending on when I added it to the menu).
I have a workaround, but I just thought I would report it so it was on your radar. Who knows if what makes it show the incorrect icon also has other implications.