I am have a strange problem with adding icons to debian jessie. Try different icon themes, extract files to /usr/share/icons/. After select them from Appearance-Icons and see small info - that icon-cache is missing. Run as suggested
sudo gtk-update-icon-cache -f /usr/share/icons/icon-themes-folder/
and response is gtk-update-icon-cache: The generated cache was invalid. At first think that it can be problem with a icon themes, but only some allow to generate cache properly. Icons is still working even without cache, but at some applications they are huge.
Run Xfce 4.12 on Debian Jessie.
Will be glad for some advice.