As far as I know, yumex just uses your GUI settings for icons. So, check you GUI theme definitions, and either add the missing one or use a different theme.
You could also just do a yum update yum yumex to make sure you've got the most current releases of yum and yumex. (The latest yum release fixed the bug in yumex that prevented the saving of yumex settings, but that's not your problem.)
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