OK....I followed the path you listed and see what you mean.
First off....the themed icons are for in your notification bar and elsewhere. I got some killer ones off that page. Try it out...pick "Themed icon sets", then hit next and you will see a boat load of options to pick from and a preview of all of them. I personally like the set that comes in "P3 round" at the very bottom. Check out a few by hitting preview and see if you like them. When you choose one, it adds those icons to the framework-res.apk you supply.
As for the "Status bar notification" section after the themed icons, I cruise right by that by selecting "Do not change notification status bar", especially since it says "(for HTC Desire roms only)". But if you click the box to personalize it, choose some options, it will give you a preview of the pull down screen and all that. So maybe make one anyway, dig out the images you want, then drop it in your zip. Hmmmm....maybe I'll try that.
-Mike