there are specific modules that display desktop icons, not entirely certain because i never use them but i think xlabel is one the modules that support desktop icons.

so anyway, if you dl a theme where the designer didn't use icons then you wont get any.
of course you can always add in a desktop icon module yourself.

as far as the command box again, that is a specific module.
if the theme you want to use doesn't have it included then you can just add it yourself