It's very possible that you selected the icons and clicked the option without realizing it (add another icon to test this).
No, that didn't happen, I'm afraid. It's a toggle in the context menu for the icons and none of them have the 'Exclude from being hidden' menu item checked - it is unchecked by default.
It's probably equally likely that the option is somehow the default setting on your computer somehow
This seems more plausible, but I can't find a global 'exclude' setting within Fences and logic would dictate that if there were one and it was indeed enabled the 'Exclude from being hidden' context menu item would be checked when the menu was invoked.
Interestingly, the very first version released to us by Stardock worked exactly as advertised on my machine & did not have this problem. Within about 24 hours of that first Fences beta release, as I recall, an updated version was posted and this problem occurred when I installed that 'second' version. It has persisted with all updates since.