The problem is that you're deleting the "Label" from the menu items. That is why they show up as blanks. There's no name associated with them if you delete the name.
Keep in mind that usage of the term "folders" is confusing, given that they are not folders, but menu items.
To set the icons in the Raid Progression area, you need to specify the icon when you edit the Raid Zone. Head to Admin > Menus > Raid Progression, add the necessary bosses, and specify the icons accordingly (there's a dropdown for icons for WoW).
Your Last Items Received menu has been disabled by you. Head to Admin > Menu Administration, click Edit, and uncheck the box for "Disabled"
