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I've tried the update. It didn't worked. I've deleted the mod manually twice, and even unsubscribed, then subscribed. Problem remained.
There is my brief info of my comp, at the moment of writing of this post:

Windows 7 Service Pack 1
Memory: 8 GB
CPU: Intel (R) Core (TM) i5-3570K @ 3.80 GHz
NVidia GeForce GTX 780
(I didn't used any external program like "Large Address Aware" on AoM.)

(Bug is not related with other mods. There are disabled, but subscribed next mods):
Better Chinese Great Wall and Statues;
Civilization Appropriate Regent;
Immortal fix;
Myth Unit Texture Compilation;
Myth Unit Upgrade Pack.

Missing icons. It's unfull list, because there are more of them. At least that's on Win7 SP1:
-Tlatoani (Aztec Hero);
-Flowery Wars (Huitzilopochtli's TC upgrade);
-Fire Strike (Huitzilopochtli's GP);
-Great Abundance (Quetzalcoatl's GP);
-Yahui (Huehueteotl's myth unit);
-Elder Flames (Huehueteotl's upgrade);
-New Fire Ceremony (Huehueteotl's upgrade);
-Royal Goldsmiths (Huehueteotl's upgrade);
-Great Market (Huehueteotl's upgrade);
-Jaguar Night (Coyolxauhqi's GP);
-Huitznahua (Coyolzauhqi's myth unit);
-Southern Stars (Coyolzauhqi's upgrade);
-Lunar Cycles (Coyolzauhqi's upgrade);
-Celestial Heart (Coyolzauhqi's upgrade);
-Underworld Guides (Xolotl's upgrade);
-Evening Star (Xolotl's upgrade);
-Tzitzimitl (Mictlantecuhtli's myth unit);
-Itzpapalotl (Mictlantecuhtli's myth unit);
-Festival of Death (Mictlantecuhtli's upgrade);
-Huey Tzompantli (Mictlantecuhtli's upgrade)
-Horrors of Mictlan (Mictlantecuhtli's upgrade);
-Amozaoque (Mayahuel's myth unit);
-Maguey Craftsmanship (Mayahuel's upgrade);
-400 Rabbits (Mayahuel's upgrade);
-Pulque (Mayahuel's upgrade);
-Xipe Totec (God's portrait);
-Tlaloc (God's portrait);
-Solar Ray (Tonatiuh's upgrade);
-Solar Companions (Tonatiuh's upgrade);
-Tezontle Walls (Tonatiuh's upgrade);
-Tlalocan (Tlaloc's God Power);
-Tlaloque (Tlaloc's myth unit);
-Mask of Tlaloc (Tlaloc's upgrade);
-Chimalacalli Canoes (Tlaloc's upgrade);
-e.t.c.

Checked files through Steam preferences. It found 3 files that had errors. Unfortunately, I have no idea what files are they.

I've fixed game files via Steam options. Bug remained.
However, some icons were really appeared after the update. Like Anointment Ceremony upgrade and some military units' icons. Or Tlaloc's Aqueduct upgrade. It means that some icons can be shown even in Win7.

Thanks for the bug report, I think I know what the problem is now that you specify that you use windows 7, previously we had a bug related to black textures on the drives for windows 7 or lower users and we fixed it by changing the old ddt format for the new one, probably I accidentally omitted the icons, let me fix it for the next update be aware.

Fixed.

I think that is last one.
Only next things are missing:
-Maquizcoatl's (Coatlicue's myth unit) icon;
-Xipe Totec's and Tlaloc's portraits (in minor god selection menu).
https://psteamcommunity.yuanyoumao.com/sharedfiles/filedetails/?id=2978861356
Their portraits are shown in history info menu.

@Terroneozov, thanks for sharing in detail the list of errors, you have contributed a lot. I am fixing it right now, I would like to add an additional icon to the list:

-Titan gate icon (it has no transparency)