Comment 8 for bug 691759

http://library.gnome.org/devel/pygtk/stable/class-gtkicontheme.html#method-gtkicontheme--load-icon

Yes it really is as simple as there not being an icon with that name and size being available in the theme you are using.
You could use this program too see what icons are included in a particular theme https://launchpad.net/icon-library/