The uca (custom actions) offers to pick any image as an icon, even if it's outside the usual icon theme directories like /usr/share/icons or ~/.icons and then sets it as the icon for the custom action but as soon as the configuration window in closed then the icon doesn't show up in the list of custom actions nor in Thunar's right-click menu.
We have to copy the image to a place like ~/.icons and select it from the 'Uncategorized icons' options (as opposed to the 'Image files' options, whose icons don't stick).